Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework
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- Hwang, Jungbin & Sun, Yixiao, 2018. "Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework," Journal of Econometrics, Elsevier, vol. 207(2), pages 381-405.
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More about this item
Keywords
Social and Behavioral Sciences; Asymptotic Efficiency; Asymptotic Mixed Normality; Fixed-smoothing Asymptotics; Heteroskedasticity and Autocorrelation Robust; Increasing-smoothing Asymptotics; Nonstandard Asymptotics; Two-step GMM Estimation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GER-2015-08-30 (German Papers)
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