Browsing FAS Scholarly Articles by Keyword "Generalized method of moments (GMM)"
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I Got More Data, My Model is More Refined, but My Estimator is Getting Worse! Am I Just Dumb?
(Informa UK (Taylor & Francis), 2013)Possibly, but more likely you are merely a victim of conventional wisdom. More data or better models by no means guarantee better estimators (e.g., with a smaller mean squared error), when you are not following probabilistically ...