Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7348907 | Economics Letters | 2018 | 5 Pages |
Abstract
This paper compares three types of standard errors for optimal minimum distance (OMD) estimator where the structural parameter is recovered from the reduced form parameters estimated by a two-step GMM estimator. We demonstrate that the naive standard errors are severely biased and cause over-rejection, while the OMD estimator based on the bias-corrected variance matrix by Windmeijer (2005) and newly derived variance estimator yield much more accurate inference.
Keywords
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Kazuhiko Hayakawa,