Sun, Yixiao - In: Econometrica 82 (2014) 11, pp. 2327-2370
This paper develops the fixed‐smoothing asymptotics in a two‐step generalized method of moments (GMM) framework. Under this type of asymptotics, the weighting matrix in the second‐step GMM criterion function converges weakly to a random matrix and the two‐step GMM estimator is...