Jungbin Hwang, Byunghoon Kang, Seojeong Lee
arXiv 21 Aug 2019 · Econometrics · publishedJournal of Econometrics (2019) · 5 citations (OpenAlex)
arXiv:1908.07821 · PDF · DOI · OpenAlex · Extracted main text
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula additionally corrects for the over-identification bias in variance estimation on top of the commonly used finite sample correction of Windmeijer (2005) which corrects for the bias from estimating the efficient weight matrix, so is doubly corrected. An important feature of the proposed double correction is that it automatically provides robustness to misspecification of the moment condition. In contrast, the conventional variance estimator and the Windmeijer correction are inconsistent under misspecification. That is, the proposed double correction formula provides a convenient way to obtain improved inference under correct specification and robustness against misspecification at the same time.
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Sensitivity, Informativeness, and Misspecification in GMM Estimation | 0.737 | 3 | 2 |
| 2 | The purpose of an estimator is what it does: Misspecification, estimands, and over-identification | 0.405 | 1 | 1 |