GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009) |
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| Authors: | Helmut Farbmacher |
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| Affiliation: | Department of Economics, University of Munich, , Germany |
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| Abstract: | In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77 (3): 687–719) propose a new variance estimator for generalized empirical likelihood. In Monte Carlo examples they show that t‐statistics based on the new variance estimator have nearly correct size. I have replicated their Monte Carlo simulations and in addition used the new variance estimator to re‐estimate Angrist and Krueger's (Does compulsory school attendance affect schooling and earnings? Quarterly Journal of Economics 1991; 106 (4): 979–1014) returns to education. Copyright © 2011 John Wiley & Sons, Ltd. |
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