A numerical equivalence result for generalized method of moments

Robert Phillips

Economics Letters, 2019, vol. 179, issue C, 13-15

Abstract: This note shows when a GMM estimator has an alternative representation as a 2SLS estimator after data filtering. The result exploits a weaker condition than the conditions earlier invariance to transformation results use and applies to panel and system estimation.

Keywords: Forward orthogonal demeaning; Forward orthogonal deviations; Cholesky factorization; Two-stage least squares (search for similar items in EconPapers)
JEL-codes: C23 C26 C36 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:179:y:2019:i:c:p:13-15

DOI: 10.1016/j.econlet.2019.03.014

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