Newey, Whitney K.; Windmeijer, Frank - 2008
Using many moment conditions can improve efficiency but makes the usual generalized method of moments (GMM) inferences … problem. It is consistent under the usual asymptotics and, under many weak moment asymptotics, is larger than usual and is … under many weak moments. In addition, we introduce a jackknife GMM estimator, but find that GEL is asymptotically more …