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Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework

Hwang, Jungbin; Sun, Yixiao - 2015

Persistent link: https://www.econbiz.de/10011442025

Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 207 (2018) 2, pp. 381-405

Persistent link: https://www.econbiz.de/10012116364

Asymptotic F and t tests in an efficient GMM setting

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 198 (2017) 2, pp. 277-295

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Simple and trustworthy cluster-robust GMM inference

Hwang, Jungbin - In: Journal of econometrics 222 (2021) 2, pp. 993-1023

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Should We Go One Step Further? An Accurate Comparison of One-Step and Two-Step Procedures in a Generalized Method of Moments Framework

Hwang, Jungbin - 2015

According to the conventional asymptotic theory, the two-step Generalized Method of Moments (GMM) estimator and test perform as least as well as the one-step estimator and test in large samples. The conventional asymptotic theory, as elegant and convenient as it is, completely ignores the...

Persistent link: https://www.econbiz.de/10013017394