This paper considers the bootstrap for the GMM estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. When moment functions are uncorrelated after finite lags, Hall and Horowitz, [1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891–916] showed that errors in the rejection probabilit...

Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper I discuss empirical likelihood (EL) estimation for count data models with endogenous regressors. I c...

Generalized Pareto distribution play an important role in reliability, extreme value theory, and other branches of applied probability and statistics. This family of distributions includes exponential distribution, Pareto distribution, and Power distribution. In this paper, we established exact expressions and recurrence relations satisfied by the quotient moments of generalized order statistic...

Dynamic endogeneity occurs when the current values of a study’s independent variables are affected by past dependent variables, which can lead to biased estimates. Our analysis 80 empirical papers published in Journal International Business Studies uncovers cases inappropriate treatment dynamic endogeneity. simulations reveal factors that bias fixed effects estimator and highlight advantages di...

We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator’s relation to a Bayesian estimator.

It has recently been observed that, given the mean-variance relation, one can improve on the accuracy of the quasi-likelihood estimator by the adaptive estimator based on the estimation of the higher moments. The estimation of such moments is usually unstable, however, and consequently only for large samples does the improvement become evident. The author proposes a nonparametric estimating equ...