Ramalho, Joaquim - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1202-1202
It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. In this paper we analyze by simulation the finite sample bias of two classes of alternative estimators. The first includes estimators which are asymptotically...