Armstrong, Timothy B.; Kolesár, Michal - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 77-108
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the...
