derivatives of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix … parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper …

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

Using many moment conditions can improve efficiency but makes the usual generalized method of moments (GMM) inferences … inaccurate. Two-step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias, but the usual standard errors are … under many weak moments. In addition, we introduce a jackknife GMM estimator, but find that GEL is asymptotically more …

relevant Jacobian matrix obtained as the second order derivative of the moment indicator in a leading case. GMM and GEL tests … difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the …

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in … offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and … other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias …

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …