Two Papers on GMM

This is an archive of text and software for two papers on GMM: GMM Inference When the Number of Moment Conditions is Large appearling in J. of Econometrics (1999), 93, 327-344. and The Falstaff Estimator both by Roger Koenker Jose A.F. Machado. appearing Economics Letters 61,(1998), 23-28

The archive of the software for the paper is available as a group of Splus functions which may be used to reproduce the results in the Monte Carlo section of the Falstaff paper. This archive is in tar format and can be obtained by clicking here.

The Falstaff is available here in pdf.

Comments on any of this are, of course, always welcome. Problems or questions should be directed to roger@ysidro.econ.uiuc.edu
The software may be redistributed for any non-commercial purpose.