articleJournal of EconometricsMar 23, 2004Closed access

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

FWFrank Windmeijer

Institute for Fiscal Studies

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Topics
Keywords
  • Mathematics
  • Estimator
  • Monte Carlo method
  • Delta method
  • Statistics
  • Moment (physics)
  • Generalized method of moments
  • Applied mathematics
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