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- W1668294501 abstract "Abstract According to conventional asymptotic theory, the two-step generalized method of moments (GMM) estimator and test perform at least as well as the one-step estimator and test in large samples. The conventional asymptotic theory completely ignores the estimation uncertainty in the weighting matrix, and as a result it may not reflect finite-sample situations well. In this paper, we employ the more accurate fixed-smoothing asymptotic framework to compare the performances of the one-step and two-step procedures. We show that the two-step procedures outperform the one-step procedures only when the squared long-run canonical correlation coefficients between two blocks of transformed moment conditions are larger than the thresholds established in this paper. The thresholds depend on the criteria of interest. A Monte Carlo study lends support to our asymptotic results." @default.
- W1668294501 created "2016-06-24" @default.
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- W1668294501 date "2018-12-01" @default.
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- W1668294501 title "Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework" @default.
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- W1668294501 doi "https://doi.org/10.1016/j.jeconom.2018.07.006" @default.
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