Cheng, Xu; Sánchez-Becerra, Alejandro; Shephard, Andrew - 2023 - This Version: June 25, 2023
weighting in minimum distance estimation to mitigate the finite-sample bias caused by sampling errors in the weighting matrix …. This paper introduces a new weighting scheme that combines cross-fitting and regularized weighting matrix estimation. We … weighting matrix sampling errors. Additionally, we demonstrate that some economic models in the earnings dynamics literature …