Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

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.

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Year of publication:	2007
Authors:	Chatelain, Jean-Bernard
Institutions:	HAL
Subject:	Generalized method of moments \| test of over-identifying restrictions \| test of subset of over-identifying restrictions \| Consistent Moment Selection

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00112514 Published, Economics Letters, 2007, 95, 3, 380-385
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750451