GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009)
复制了Newey和Windmeijer（2009）提出的广义经验似然的新方差估计量，通过蒙特卡洛模拟验证其t统计量大小接近正确，并重新估计了Angrist和Krueger（1991）的教育回报率。
SUMMARY 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. Copyright © 2011 John Wiley & Sons, Ltd.