Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework

DOI10.1016/J.JECONOM.2018.07.006zbMath1452.62649OpenAlexW1668294501WikidataQ129211263 ScholiaQ129211263MaRDI QIDQ1739594

Jungbin Hwang, Yixiao Sun

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/58r2z98m

zbMATH Keywords

nonstandard asymptoticsfixed-smoothing asymptoticsasymptotic mixed normalityheteroskedasticity and autocorrelationtwo-step GMM estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

Stochastic modeling of currency exchange rates with novel validation techniques ⋮ Finite-sample corrected inference for two-step GMM in time series ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ A doubly corrected robust variance estimator for linear GMM ⋮ Simple and trustworthy cluster-robust GMM inference

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