A Finite Sample Correction for the Variance of Linear Two-Step GMM Estimators
By F. Windmeijer. 2000
3,216 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Environmental Engineering
View Paper: https://www.semanticscholar.org/paper/e41247f5a728b4bf3eb1ffb3ac3055d8a6a0b5bd
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Muhammad Shahbaz
- S. Kripfganz
- Kazuhiko Hayakawa
- F. Tarp
- Mantu Kumar Mahalik
- Michael A. Clemens
- G. David Roodman
- F. Teal
In Environmental Engineering
- G. David Roodman
- Marcelo Soto
- Linda Veiga
- Mushfiq Swaleheen
- Stephen R. Bond
- Mantu Kumar Mahalik
- Kazuhiko Hayakawa
- Francisco Veiga
Citations in the corpus
- MILITARY EXPENDITURE AND ECONOMIC GROWTH IN DEVELOPING COUNTRIES: EVIDENCE FROM SYSTEM GMM ESTIMATES (2013, methodology): “On the other hand, the use of the two-step estimator in small samples, in a simulation analysis, Windmeijer (2005) shows that the two-step GMM estimation with numerous instruments can lead to biased standard errors and parameter estimates.”
- Assessing the relationships between human capital, innovation and technology adoption: Evidence from sub-Saharan Africa (2017, methodology): “Governments of SSA countries, likewise, donors and 1 For all our SYS- GMM results we used the small sample bias correction following Windmeijer (2005). the international development agencies have prioritised funding to primary education (see Ajakaiye and Kimenyi, 2011).”
- Creative destruction and regional productivity growth: evidence from the Dutch manufacturing and services industries (2008, methodology): “We use the two-step procedure and the finitesample correction by Windmeijer (2005) in order to obtain robust estimation results.”
- The effect of advertising on brand awareness and perceived quality: An empirical investigation using panel data (2009, methodology): “We also apply the finite-sample correction proposed by Windmeijer (2005) which corrects for the two-step covariance matrix and substantially increases the efficiency of both GMM estimators.”
- Do EU structural funds promote regional growth? New evidence from various panel data approaches☆ (2010, methodology): “The standard errors are finite-sample adjusted following Windmeijer (2005).”