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Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

This paper compares conventional GMM estimators to empirical likelihood based GMM estimators which employ a semiparametric efficient estimate of the unknown distribution function of the data. One-step, two-step and bootstrap empirical likelihood and conventional GMM estimators are considered which are efficient for a given set of moment conditions. The estimators are subject to a Monte Carlo investigation using a specification which exploits sequential conditional moment restrictions for binary panel data with multipli-cative latent effects. Among other findings the experiments show that the one-step and two-step estimators yield coverage rates of confidence intervals below their nominal coverage probabilities. The bootstrap methods improve upon this result.

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Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 00-03.

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Length: 29 pages
Date of creation: Jan 2000
Date of revision:
Handle: RePEc:knz:cofedp:0003
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  24. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-80, July.
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