Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (Q1739594)

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Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
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    Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (English)
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    26 April 2019
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    asymptotic mixed normality
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    fixed-smoothing asymptotics
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    heteroskedasticity and autocorrelation
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    nonstandard asymptotics
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    two-step GMM estimation
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