Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86037
Authors: 
Kleibergen, Frank
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-067/4
Abstract: 
We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...)
Subjects: 
Weak instruments
Size distortions
Covariance matrix estimators
stochastic discount factors
Document Type: 
Working Paper

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