Newey and Smith [Newey, W.K., Smith, R.J., 2004. Higher order properties of GMM and empirical likelihood estimators. Econometrica 72, 219-255] analyzed the second order biases of GMM and GEL estimators under independence. Anatolyev [Anatolyev, S., 2005. GMM, GEL, serial correlation, and...

At the present time, there exists an important and growing econometric literature that deals with the application of multivariate-ARCH models to a variety of economic and financial data. However, the properties of the estimation procedures that are used have not yet been fully explored. This...

Kinal (1980) showed that k-class estimators for which k  1 possess all necessary higher moments. A bias approximation to order T- 2 is derived for the general k-class estimator extending the earlier result for 2SLS of Mikhail (1972) thus improving our knowledge of a potentially...