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A finite sample correction for the variance of linear efficient two-step GMM estimators

Journal of Econometrics · 2004 · Vol. 126(1) · pp. 25–51

Frank Windmeijer✉(Institute for Fiscal Studies)

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Spatial and Panel Data Analysis Fiscal Policy and Economic Growth Monetary Policy and Economic ImpactMathematicsEstimatorMonte Carlo methodDelta methodStatisticsMoment (physics)Generalized method of momentsApplied mathematicsVariance (accounting)Sample (material)

Funding

Economic and Social Research Council

Citations

5,691

FWCI

173.04

field-weighted impact

References

39

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100%

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References

Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak

Journal of the American Statistical Association · 1995 · 3,726 citations

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

The Review of Economic Studies · 1991 · 32,287 citations

Large Sample Properties of Generalized Method of Moments Estimators

Econometrica · 1982 · 13,720 citations

Another look at the instrumental variable estimation of error-components models

Journal of Econometrics · 1995 · 19,198 citations

Instrumental Variables Regression with Weak Instruments

Econometrica · 1997 · 7,201 citations

Initial conditions and moment restrictions in dynamic panel data models

Journal of Econometrics · 1998 · 21,180 citations

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