A well-known result in the method of moments literature is that the efficient instruments for the estimation of a model are functions of the conditional expectation of its gradient. Some recent studies have suggested the nonparametric estimation of these instruments when they are of unknown...

The usual standard errors for the regression coefficients in a seemingly unrelated regression model have a substantial downward bias. Bootstrapping the standard errors does not seem to improve inferences. In this paper, Monte Carlo evidence is reported which indicates that bootstrapping can...