Publications

"GMM with Many Weak Moment Conditions: Replication and Application of Newey and Windmeijer (2009)", Journal of Applied Econometrics, 2012, 27(2), 343-346


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.

Paper: https://doi.org/10.1002/jae.1277

Software: https://ideas.repec.org/c/boc/bocode/s457780.html

Altmetric: https://www.altmetric.com/details/463620