Abstract
In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77(3): 687-719) propose a new variance estimator for generalized empirical likelihood. In Monte Carlo examples they show that t-statistics based on the new variance estimator have nearly correct size. I have replicated their Monte Carlo simulations and in addition used the new variance estimator to re-estimate Angrist and Krueger's (Does compulsory school attendance affect schooling and earnings? Quarterly Journal of Economics 1991; 106(4): 979-1014) returns to education.
| Original language | English |
|---|---|
| Pages (from-to) | 343-346 |
| Number of pages | 4 |
| Journal | Journal of Applied Econometrics |
| Volume | 27 |
| Issue number | 2 |
| DOIs | |
| State | Published - Mar 2012 |
| Externally published | Yes |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 4 Quality Education
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