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Small sample bias in GMM estimation of covariance structures

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Author Info
Joseph G. Altonji
Lewis M. Segal

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Paper provided by Federal Reserve Bank of Chicago in its series Working Paper Series, Macroeconomic Issues with number 94-8.

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Date of creation: 1994
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Handle: RePEc:fip:fedhma:94-8

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. repec:cup:etheor:v:10:y:1994:i:1:p:172-97 is not listed on IDEAS
  2. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January. [Downloadable!] (restricted)
  3. Arellano, Manuel & Sargan, J D, 1990. "Imhof Approximations to Econometric Estimators," Review of Economic Studies, Blackwell Publishing, vol. 57(4), pages 627-46, October. [Downloadable!] (restricted)
  4. Abowd, John M & Card, David, 1987. "Intertemporal Labor Supply and Long-term Employment Contracts," American Economic Review, American Economic Association, vol. 77(1), pages 50-68, March. [Downloadable!] (restricted)
    Other versions:
  5. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120. [Downloadable!] (restricted)
  6. Lehmann, Bruce N., 1990. "Residual risk revisited," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 71-97. [Downloadable!] (restricted)
  7. Koenker, Roger & Machado, Jos? A.F. & Skeels, Christopher L. & Welsh, Alan H., 1994. "Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation," Econometric Theory, Cambridge University Press, vol. 10(01), pages 172-197, March. [Downloadable!]
  8. Joshua D. Angrist & Alan B. Krueger, 1995. "Split Sample Instrumental Variables," NBER Technical Working Papers 0150, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Joseph G. Altonji & Ana Paul Martins & Aloysius Siow, 1987. "Dynamic Factor Models of Consumption, Hours, and Income," NBER Working Papers 2155, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Bruce N. Lehmann, 1990. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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