Redundancy of Moment Conditions in Restricted GMM Estimation

Hailong Qian ()
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Hailong Qian: Department of Economics, John Cook School of Business, Saint Louis University, St. Louis, MO 63108, USA

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, vol. 11, issue 3, 468-497

Abstract: Using a novel approach to calculating the rank of the difference of two asymptotic variance matrices, The author derives the necessary and sufficient conditions for an extra set of moment conditions to be redundant given a set of moment conditions in GMM estimation with general nonlinear restrictions. The necessary and sufficient conditions derived in this paper include as a special case the redundancy of moment conditions for GMM estimation without restrictions that was first derived by Breusch et al. (1999). Therefore this paper advances the research on redundancy of moment conditions from unrestricted GMM estimation to a larger class of GMM estimation. To show their usefulness, the main results of the current paper are applied to instrumental variables estimation of linear regression models and the efficient estimation of seemingly unrelated regressions models, subject to restrictions.

Keywords: GMM; restricted GMM estimation; moment conditions; redundancy of moment conditions; efficiency (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2016
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