Corrects the asymptotic theory for GMM estimators under second-order identification by showing prior condition applies only to overidentification and providing distinct limiting distributions for exact and overidentified cases.
Schmidt, 1995, Efficient estimation of models for d ynamic panel data, Journal of Econometrics 68, 5-28
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Large sample properties of GMM estimators under second-order identification
Corrects the asymptotic theory for GMM estimators under second-order identification by showing prior condition applies only to overidentification and providing distinct limiting distributions for exact and overidentified cases.