Newey, Whitney K.; Ramalho, Joaquim J.S.; Smith, Richard J. - Departamento de Economia, Universidade de Évora - 2003
This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in … offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and … other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias …