A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2003; you can also visit the original URL.
The file type is
Identification and Inference for Econometric Models
We calculate higher-order asymptotic biases and mean squared errors (MSE) for a simple model with a sequence of moment conditions. In this setup, generalized empirical likelihood (GEL) and infeasible optimal GMM (OGMM) have the same higher-order biases, with GEL having an MSE that exceeds OGMM's by an additional term of order (M ¡1)=N, i.e. the degree of overidenti¯cation divided by sample size. In contrast, any 2-step GMM estimator has an additional bias relative to OGMM of order (M ¡ 1)=N anddoi:10.1017/cbo9780511614491.011 fatcat:3jl6fova75cizefbboiqtcckbi