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We propose a new finite sample corrected variance estimator for the lineargeneralized method of moments (GMM) including the one-step, two-step, anditerated estimators. Our formula additionally corrects for theover-identification bias in variance estimation on top of the commonly usedfinite sample correction of Windmeijer (2005) which corrects for the bias fromestimating the efficient weight matrix, so is doubly corrected. An importantfeature of the proposed double correction is that it automatically providesrobustness to misspecification of the moment condition. In contrast, theconventional variance estimator and the Windmeijer correction are inconsistentunder misspecification. That is, the proposed double correction formulaprovides a convenient way to obtain improved inference under correctspecification and robustness against misspecification at the same time.

A Doubly Corrected Robust Variance Estimator for Linear GMM