This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

Following the seminal paper by Altonji and Segal (1996), empirical studies have widely embraced equal or diagonal weighting in minimum distance estimation to mitigate the finite-sample bias caused by sampling errors in the weighting matrix. This paper introduces a new weighting scheme that...