of GMM system estimator and a variety of control variables which are typical growth factors. It turns out that the …

the Generalised Methods of Moments (GMM), which is followed by the Empirical Bayesian technique to get consistent … estimates. The GMM technique is believed to be efficient for time series data provided the sample size is sufficiently large. In … estimates. The factual results obtained via the GMM technique are a little bit mixed, although most of the coefficients are …

It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small … alternatives are considered in this paper. The first includes estimators which are asymptotically first-order equivalent to the GMM … bias-adjusted GMM estimators form the second class of alternatives. Two extensive Monte Carlo simulation studies are …

The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an …

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …