Altonji, Joseph G; Segal, Lewis M - In: Journal of Business & Economic Statistics 14 (1996) 3, pp. 353-66
The authors examine the small sample properties of the generalized method of moments estimator applied to models of covariance structures, where it is commonly known as the optimal minimum distance (OMD) estimator. They find that OMD is almost always biased downward in absolute value. The bias...