Kiviet, J. F.; School of Humanities and Social Sciences … - 2014 - Version of 10 November 2014
While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most … instance, standard GMM counteracts that exogenous regressors are used as their own optimal instruments. This is easily seen … after transmuting GMM for linear models into IV in terms of transformed variables. It is demonstrated that modified GMM …