Newey, Whitney; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003
In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of … asymptotic bias due to correlation of the moment functions with their Jacobian, eliminating an important source of bias for GMM …, eliminating a further important source of bias for GMM in panel data models. We give bias corrected GMM and GEL estimators. We …