Zhylyevskyy, Oleksandr; Khovansky, Serguey - Department of Economics, Iowa State University - 2011
A GMM estimation approach is developed for a stylized cross-sectional model with a non-localized common data shock … interest. Other researchers investigated properties of OLS estimator under localized and non-localized shocks and proposed a … GMM estimator for cross-sectional data with localized shocks. However, cross-sectional GMM estimation under non-localized …