GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009)
Article first published online: 21 NOV 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 27, Issue 2, pages 343–346, March 2012
How to Cite
Farbmacher, H. (2012), GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009). J. Appl. Econ., 27: 343–346. doi: 10.1002/jae.1277
- Issue published online: 16 FEB 2012
- Article first published online: 21 NOV 2011
- Manuscript Revised: 12 AUG 2011
- Manuscript Received: 9 JAN 2011
In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77(3): 687–719) propose a new variance estimator for generalized empirical likelihood. In Monte Carlo examples they show that t-statistics based on the new variance estimator have nearly correct size. I have replicated their Monte Carlo simulations and in addition used the new variance estimator to re-estimate Angrist and Krueger's (Does compulsory school attendance affect schooling and earnings? Quarterly Journal of Economics 1991; 106(4): 979–1014) returns to education. Copyright © 2011 John Wiley & Sons, Ltd.