It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. This problem has motivated the search for alternative estimators with better finite sample properties. Two classes of alternatives are considered in this paper. The...

Empirical likelihood (EL) is appropriate to estimate moment condition models when a random sample from the target population is available. However, many economic surveys are subject to some form of stratification, in which case direct application of EL will produce inconsistent estimators. In...

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...

The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an instrumental variable framework using Monte Carlo analysis. Promising results were found for the two bootstrap estimators suggested in the paper.