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Small-Sample Bias in GMM Estimation of Covariance Structures

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Cited by:

  1. Lee, Seojeong, 2016. "Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators," Journal of Econometrics, Elsevier, vol. 192(1), pages 86-104.
  2. Denisa Maria Sologon & Cathal O'Donoghue, 2009. "Earnings Dynamics and Inequality in EU, 1994-2001," SOEPpapers on Multidisciplinary Panel Data Research 184, DIW Berlin, The German Socio-Economic Panel (SOEP).
  3. Adams-Prassl, Abigail & Andrew, Alison, 2019. "Preferences and Beliefs in the Marriage Market for Young Brides," CEPR Discussion Papers 13567, C.E.P.R. Discussion Papers.
  4. Amand, Marnix & Chéron, Arnaud & Pelgrin, Florian & Terriau, Anthony, 2023. "Soccer labour market equilibrium and efficient training of players," European Economic Review, Elsevier, vol. 156(C).
  5. Bairoliya, Neha, 2019. "Pension plan heterogeneity and retirement behavior," European Economic Review, Elsevier, vol. 116(C), pages 28-59.
  6. Gallipoli, Giovanni & Low, Hamish & Mitra, Aruni, 2020. "Consumption and Income Inequality across Generations," CEPR Discussion Papers 15166, C.E.P.R. Discussion Papers.
  7. Richard Blundell & Monica Costa-Dias & David Goll & Costas Meghir, 2021. "Wages, Experience, and Training of Women over the Life Cycle," Journal of Labor Economics, University of Chicago Press, vol. 39(S1), pages 275-315.
  8. Ariell Reshef, 2013. "Is Technological Change Biased Towards the Unskilled in Services? An Empirical Investigation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(2), pages 312-331, April.
  9. Cappellari, Lorenzo, 2002. "Earnings dynamics and uncertainty in Italy: how do they differ between the private and public sectors?," Labour Economics, Elsevier, vol. 9(4), pages 477-496, September.
  10. Thierry Magnac & Sébastien Roux, 2009. "Dynamique des salaires dans une cohorte," Economie & Prévision, La Documentation Française, vol. 0(1), pages 1-24.
  11. Victor Aguirregabiria & Victor Aguirregabiria & Aviv Nevo & Aviv Nevo, 2010. "Recent Developments in Empirical IO: Dynamic Demand and Dynamic Games," Working Papers tecipa-419, University of Toronto, Department of Economics.
  12. Ylenia Brilli, 2022. "Mother’s Time Allocation, Childcare, and Child Cognitive Development," Journal of Human Capital, University of Chicago Press, vol. 16(2), pages 233-272.
  13. Packalen, Mikko & Wirjanto, Tony S., 2012. "Inference about clustering and parametric assumptions in covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 1-14, January.
  14. Yuri Ostrovsky, 2020. "Testing functional forms of the lifetime income process in the presence of factor loadings," Empirical Economics, Springer, vol. 59(1), pages 1-10, July.
  15. Naoki Aizawa & Soojin Kim & Serena Rhee, 2020. "Labor Market Screening and the Design of Social Insurance: An Equilibrium Analysis of the Labor Market for the Disabled," NBER Working Papers 27478, National Bureau of Economic Research, Inc.
  16. François Gourio & Nicolas Roys, 2014. "Size‐dependent regulations, firm size distribution, and reallocation," Quantitative Economics, Econometric Society, vol. 5, pages 377-416, July.
  17. Lorenzo Cappellari, 2011. "Flexicurity, wage dynamics and inequality over the life-cycle," DISCE - Quaderni dell'Istituto di Economia dell'Impresa e del Lavoro ieil0064, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  18. Dean R. Hyslop & Wilbur Townsend, 2020. "Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 457-469, April.
  19. Park, Seonyoung & Shin, Donggyun, 2020. "Welfare consequences of rising wage risk in the United States: Self-selection into risky jobs and family labor supply adjustments," Working Paper Series 20888, Victoria University of Wellington, School of Economics and Finance.
  20. Gobillon, Laurent & Magnac, Thierry & Selod, Haris, 2012. "L’effet des Zones Franches Urbaines sur le Retour à l’Emploi," CEPREMAP Working Papers (Docweb) 1209, CEPREMAP.
  21. Mariacristina De Nardi & Eric French & John Bailey Jones, 2005. "Differential mortality, uncertain medical expenses, and the saving of elderly singles," Working Paper Series WP-05-13, Federal Reserve Bank of Chicago.
  22. Amano-Patiño, N. & Baron, T. & Xiao, P., 2020. "Human Capital Accumulation, Equilibrium Wage-Setting and the Life-Cycle Gender Pay Gap," Cambridge Working Papers in Economics 2010, Faculty of Economics, University of Cambridge.
  23. Stephanie Lluis, 2005. "The Role of Comparative Advantage and Learning in Wage Dynamics and Intrafirm Mobility: Evidence from Germany," Journal of Labor Economics, University of Chicago Press, vol. 23(4), pages 725-768, October.
  24. Alfonso Irarrazabal & Andreas Moxnes & Luca David Opromolla, 2015. "The Tip of the Iceberg: A Quantitative Framework for Estimating Trade Costs," The Review of Economics and Statistics, MIT Press, vol. 97(4), pages 777-792, October.
  25. Mariacristina De Nardi & Eric French & John B. Jones, 2010. "Why Do the Elderly Save? The Role of Medical Expenses," Journal of Political Economy, University of Chicago Press, vol. 118(1), pages 39-75, February.
  26. Konstantinos Angelopoulos & Spyridon Lazarakis & James Malley, 2019. "Cyclical income risk in Great Britain," Working Papers 2019_03, Business School - Economics, University of Glasgow.
  27. Aedín Doris & Donal O’Neill & Olive Sweetman, 2013. "Identification of the covariance structure of earnings using the GMM estimator," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 11(3), pages 343-372, September.
  28. Borowczyk-Martins, Daniel & Bradley, Jake & Tarasonis, Linas, 2018. "Racial discrimination in the U.S. labor market: Employment and wage differentials by skill," Labour Economics, Elsevier, vol. 50(C), pages 45-66.
  29. Rasmus Lentz & Dale T. Mortensen, 2008. "An Empirical Model of Growth Through Product Innovation," Econometrica, Econometric Society, vol. 76(6), pages 1317-1373, November.
  30. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
  31. David Laibson & Andrea Repetto & Jeremy Tobacman, 2005. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Levine's Bibliography 784828000000000643, UCLA Department of Economics.
  32. Francesconi, Marco & James, Jonathan, 2015. "The Cost of Binge Drinking," CEPR Discussion Papers 10412, C.E.P.R. Discussion Papers.
  33. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
  34. David Roodman, 2009. "A Note on the Theme of Too Many Instruments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 135-158, February.
  35. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
  36. Baker, Michael, 1997. "Growth-Rate Heterogeneity and the Covariance Structure of Life-Cycle Earnings," Journal of Labor Economics, University of Chicago Press, vol. 15(2), pages 338-375, April.
  37. Jeremy Lise & Costas Meghir & Jean-Marc Robin, 2016. "Matching, Sorting and Wages," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 19, pages 63-87, January.
  38. Jake Bradley, 2016. "Self-employment in an equilibrium model of the labor market," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 5(1), pages 1-30, December.
  39. Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
  40. Storesletten, Kjetil & Koenig, Michael & Song, Zheng & Zilibotti, Fabrizio, 2020. "From Imitation to Innovation: Where Is all that Chinese R&D Going?," CEPR Discussion Papers 14966, C.E.P.R. Discussion Papers.
  41. Laurent Gobillon & Thierry Magnac & Harris Selod, 2011. "The effect of location on finding a job in the Paris region," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(7), pages 1079-1112, November.
  42. Benjamin Friedrich & Costas Meghir & Lisa Laun & Luigi Pistaferri, 2018. "Earnings Dynamics and Firm-Level Shocks," 2018 Meeting Papers 536, Society for Economic Dynamics.
  43. Richard Blundell & Luigi Pistaferri & Ian Preston, 2008. "Consumption Inequality and Partial Insurance," American Economic Review, American Economic Association, vol. 98(5), pages 1887-1921, December.
  44. Zhao, Bo, 2013. "Cyclical dynamics in idiosyncratic labor-market risks: Evidence from March CPS 1968–2011," Economics Letters, Elsevier, vol. 120(3), pages 528-531.
  45. Kai Liu, 2010. "Wage Risk, On-the-job Search and Partial Insurance," 2010 Meeting Papers 1136, Society for Economic Dynamics.
  46. Kjetil Storesletten & Bo Zhao & Fabrizio Zilibotti, 2019. "Business Cycle during Structural Change: Arthur Lewis' Theory from a Neoclassical Perspective," Cowles Foundation Discussion Papers 2191, Cowles Foundation for Research in Economics, Yale University.
  47. Greg Kaplan, 2012. "Inequality and the life cycle," Quantitative Economics, Econometric Society, vol. 3(3), pages 471-525, November.
  48. Andrew Shephard & Xu Cheng & Alejándro Sanchez-Becerra, 2023. "How to weight in moments matchings: A new approach and applications to earnings dynamics," CeMMAP working papers 13/23, Institute for Fiscal Studies.
  49. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
  50. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
  51. Tom Krebs & Pravin Krishna & William Maloney, 2010. "Trade Policy, Income Risk, and Welfare," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 467-481, August.
  52. Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of animal spirits in a bounded rationality model: An application to the euro area," Economics Working Papers 2012-12, Christian-Albrechts-University of Kiel, Department of Economics.
  53. Agostino, Mariarosaria, 2008. "World Bank Conditional Loans and Private Investment in Recipient Countries," World Development, Elsevier, vol. 36(10), pages 1692-1708, October.
  54. Serven, Luis, 1998. "Macroeconomic uncertainty and private investment in developing countries - an empirical investigation," Policy Research Working Paper Series 2035, The World Bank.
  55. Paul Bingley & Lorenzo Cappellari & Niels Westergård‐Nielsen, 2013. "Unemployment Insurance, Wage Dynamics and Inequality Over the Life Cycle," Economic Journal, Royal Economic Society, vol. 0, pages 341-372, May.
  56. Francesco Devicienti, 2011. "Estimating poverty persistence in Britain," Empirical Economics, Springer, vol. 40(3), pages 657-686, May.
  57. Patrick Macnamara & Myroslav Pidkuyko & Raffaele Rossi, 2022. "Taxing Consumption in Unequal Economies," Economics Discussion Paper Series 2210, Economics, The University of Manchester.
  58. Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
  59. Salvatore Capasso & Maria Rosario Carillo & Rita De Siano, 2012. "Migration Flows, Structural Change And Growth Convergence: A Panel Data Analysis Of The Italian Regions," Manchester School, University of Manchester, vol. 80(4), pages 468-498, July.
  60. Francesco Filippucci, 2022. "What Do NEETs Need? The Effect of Combining Activation Policies and Cash Transfers," Working Papers halshs-03524083, HAL.
  61. Dustmann Christian & Preston Ian P, 2007. "Racial and Economic Factors in Attitudes to Immigration," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-41, November.
  62. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2000. "What Drives Private Saving Across the World?," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 165-181, May.
  63. Robert Gibbons & Lawrence F. Katz & Thomas Lemieux & Daniel Parent, 2005. "Comparative Advantage, Learning, and Sectoral Wage Determination," Journal of Labor Economics, University of Chicago Press, vol. 23(4), pages 681-724, October.
  64. Uta Bolt & Eric French & Jamie Hentall Maccuish & Cormac O’Dea, 2018. "Intergenerational Altruism and Transfers of Time and Money: A Life-cycle Perspective," Working Papers wp379, University of Michigan, Michigan Retirement Research Center.
  65. Jonas Radbruch & Amelie Schiprowski, 2020. "Interview Sequences and the Formation of Subjective Assessments," ECONtribute Discussion Papers Series 045, University of Bonn and University of Cologne, Germany.
  66. Kezdi, Gabor & Hahn, Jinyong & Solon, Gary, 2002. "Jackknife minimum distance estimation," Economics Letters, Elsevier, vol. 76(1), pages 35-45, June.
  67. Joaquim Ramalho, 2003. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables," Economics Working Papers 9_2003, University of Évora, Department of Economics (Portugal).
  68. Richard Blundell & Monica Costa Dias & Costas Meghir & Jonathan Shaw, 2016. "Female Labor Supply, Human Capital, and Welfare Reform," Econometrica, Econometric Society, vol. 84, pages 1705-1753, September.
  69. Gobillon, Laurent & Magnac, Thierry & Selod, Harris, 2012. "Do unemployed workers benefit from enterprise zones? The French experience," Journal of Public Economics, Elsevier, vol. 96(9-10), pages 881-892.
  70. Raffaella Giacomini & Vasiliki Skreta & Javier Turen, 2015. "Models, Inattention and Expectation Updates," Discussion Papers 1602, Centre for Macroeconomics (CFM).
  71. Arpita Chatterjee & James Morley & Aarti Singh, 2019. "Full Information Estimation of Household Income Risk and Consumption Insurance," Discussion Papers 2019-07, School of Economics, The University of New South Wales.
  72. Michal Myck & Richard Ochmann & Salmai Qari, 2008. "Dynamics of Earnings and Hourly Wages in Germany," SOEPpapers on Multidisciplinary Panel Data Research 139, DIW Berlin, The German Socio-Economic Panel (SOEP).
  73. Eric French, 2004. "The Labor Supply Response to (Mismeasured but) Predictable Wage Changes," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 602-613, May.
  74. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
  75. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
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  77. Shintaro Yamaguchi, 2010. "Job Search, Bargaining, and Wage Dynamics," Journal of Labor Economics, University of Chicago Press, vol. 28(3), pages 595-631, July.
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  80. Park, Seonyoung & Shin, Donggyun, 2020. "Welfare consequences of rising wage risk in the United States: Self-selection into risky jobs and family labor supply adjustments," Working Paper Series 7967, Victoria University of Wellington, School of Economics and Finance.
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