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My apologize for being insistent (and have a poor handling over the concepts), but just to confirm: in both cases (ticking or no the box) you get a robust matrix to heteroskedasticity, contemporaneous correlation of unknown form and autocorrelation of unknown form? And these properties will be kept ...

Hello everybody, I apologize if my questions would be hilarious but I'm a newbie regarding GMM. I'm trying to replicate a previous study regarding the short time interest rate. I have the equations for the moment conditions - first and second order but I don't know what should be the procedure to es...