Method-of-moments estimation and choice of instruments: numerical computations

Citation:

Anatolyev, Stanislav (2008) “Method-of-moments estimation and choice of instruments: numerical computations”, Economics Letters, Vol. 100, No. 2, pp. 217–220

Abstract:

We numerically evaluate asymptotic variances and biases of various method-of-moments estimators in the Hansen–Singleton model calibrated to real data. Inspection of resulting figures leads to a conclusion that applied researchers do not always form instrument sets judiciously.

Paper in RePEc:

Economics Letters, Vol. 100, No. 2, pp. 217–220

Paper in accepted version:

CCAPM.pdf

Supplementary material:

Technical appendix