Re: looking for books or notes that talk about how to optimally choose instrument variables in the GMM setting?
- From: true dough <true.dough@xxxxxxxxxxx>
- Date: Sat, 24 Feb 2007 22:50:38 EST
The ENTIRE October 2002 issue of Journal of Business and Economic Statistics is on GMM:
http://titania.asa.catchword.org/vl=11323885/cl=15/nw=1/rpsv/cw/vhosts/asa/07350015/v20n4/contp1-1.htm
Although, you'll need access through a database or a direct subscription ($).
Otherwise..
http://fmwww.bc.edu/EC-P/WP545.pdf
(also, check out the extensive list of references)
.
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