Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

Jean-Bernard Chatelain

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Abstract: This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a subset of moment conditions.

Keywords: Generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; Consistent Moment Selection (search for similar items in EconPapers)
Date: 2007
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00112514v2
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Citations: View citations in EconPapers (7)

Published in Economics Letters, 2007, 95 (3), pp.380-385. ⟨10.1016/j.econlet.2006.11.011⟩

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Journal Article: Improving consistent moment selection procedures for generalized method of moments estimation (2007)
Working Paper: Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00112514

DOI: 10.1016/j.econlet.2006.11.011

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