Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of Econometrics 152 (2009) 1, pp. 28-36
Properties of GMM estimators are sensitive to the choice of instrument. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for...