Choosing the number of moments in conditional moment restriction models
Properties of GMM estimators are sensitive to the choice of instruments. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for ins...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/53516 https://orcid.org/0000-0003-2699-4704 |