A finite sample correction for the variance of linear efficient two-step GMM estimators

By F. Windmeijer. 2005

3,109 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eae3cdb88349809bd34de635f05f2251ef048865

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In Economics and Econometrics

Citations in the corpus

Determinants of Government Efficiency (2008, positive): “We apply the Windmeijer (2005) correction to the reported standard errors.”
Appointments, Pay and Performance in UK Boardrooms by Gender (2014, positive): “The two step version of the estimator is used, with Windmeijer (2005) corrected standard errors.”
Determinants of Corporate Debt Maturity in South America: Do Institutional Quality and Financial Development Matter? (2012, positive): “First, we employ two alternative GMM estimation procedures: two-step (Arellano and Bond, 1991; Windmeijer, 2005) and orthogonal deviations (Arellano and Bover, 1995).”
GMM with many weak moment conditions (2005, positive): “…p-value plots for the Wald tests for the hypothesisH0 : β0 = 1, based on one-step GMM estimates (WGMM1), on two-step GMM estimates (WGMM2), on the Windmeijer (2005) corrected two-step Wald (WGMM2C), on the continuously updated Wald test using the conventional asymptotic variance (WCUE) and on…”
Efficiency and Risk in European Banking (2011, positive): “17The estimated asymptotic standard errors of the efficient two-step GMM estimator are severely downward biased in small samples and sos we correct for this bias using the method proposed by Windmeijer (2005).”
Does too much finance harm economic growth (2014, positive): “However, it should be noted that the GMM application to a sample with a small cross-section dimension, as in the present study, may lead to biased standard errors, biased estimated parameters (Windmeijer, 2005), and a weakened over-identification test (Bowsher, 2002).”
A Monte Carlo study of growth regressions (2009, neutral): “On a related topic, Windmeijer (2005) discusses the small sample efficiency properties of two-step GMM estimators that are efficient asymptotically, and develops a correction. coefficient of 0.832 (the implied speeds of convergence, i.e. λ parameter, are respectively 0.1% and 3.68%).31 In contrast,…”
ICT, Financial Inclusion, and Growth Evidence from African Countries (2011, positive): “Finally, we adopted the two-step System GMM with Windmeijer (2005) small sample robust correction.”
Sectoral Agglomeration Economies in a Panel of European Regions (2008, positive): “In order to maximise e¢ciency, we employ the two-step estimator, and we correct the standard errors for the small-sample bias of the two-step estimator applying the correction suggested by Windmeijer (2005).”