Kuo, Biing-Shen; Tsay, Wen-Jen - Institute of Economics, Academia Sinica - 2008
This paper proposes a new class of GMM estimators to increase the effciency of the coeffcient estimate relative to the ordinary least squares (OLS) estimator when all the error term and regressors having nonparametric autocorrelation. This class of GMM estimators are built on the moments...