2-Step Optimal GMM about prodest HOT 3 OPEN

Dear David,

thanks for the comment.

I remember having coded a version with the optimal weighting matrix - in one of my experiments long ago - and, if I am not mistaken, downsides offset the advantages (again, I do not recall precisely, but sometimes the optimal W matrix could not be computed). However, if that is not true, I would welcome the addition. Thanks you very much!!

from prodest.

from prodest.

Dear David,

I will try to dig into my old code and let you know whether I'll be able to find the version I was mentioning. I confirm that I used simulated data.

On a different page, I would not only be interested in adding the estimator by Doraszelski and
Jaumandreu to prodest, but I would be personally interested in testing it on a paper I am working on at the moment - on Italian micro-data.

Let me know whether your timing on that.

Thank you very much,

Gabriele

from prodest.