Corrected standard errors for optimal minimum distance estimator

C-Tier
Journal: Economics Letters
Year: 2018
Volume: 167
Issue: C
Pages: 5-9

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:167:y:2018:i:c:p:5-9
Journal Field
General
Author Count
1
Added to Database
2026-01-25