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GMM with more moment conditions than observations

Panutat Satchachai and Peter Schmidt

Economics Letters, 2008, vol. 99, issue 2, 252-255

Abstract: When there are more moment conditions than observations, the usual GMM weighting matrix is singular. We show that using the generalized inverse is not a good idea. With continuous updating, the criterion function equals one for every parameter value.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:252-255