Criteria for Bandwidth Selection with GMM2S

MHV

New Member
#1
What criteria should I used to set "#" in the bw(#) option using ivreg2 with the options gmm2s and robust also specified? I set it high for the efficiency benefits associated with including more information in the weighting matrix, but I don't know if there's a cost to increasing #, and my results appear to be sensitive to this parameter.