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A numerical equivalence result for generalized method of moments

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  • Phillips, Robert F.

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.

Suggested Citation

  • Phillips, Robert F., 2019. "A numerical equivalence result for generalized method of moments," Economics Letters, Elsevier, vol. 179(C), pages 13-15.
    • Handle: RePEc:eee:ecolet:v:179:y:2019:i:c:p:13-15
    DOI: 10.1016/j.econlet.2019.03.014
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    References listed on IDEAS

    as
    1. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    2. Robert F. Phillips, 2018. "Quantifying the Computational Advantage of Forward Orthogonal Deviations," Papers 1808.05995, arXiv.org.
    3. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, Decembrie.
    4. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
    5. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    6. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Robert F. Phillips, 2020. "The equivalence of two-step first difference and forward orthogonal deviations GMM," Economics Bulletin, AccessEcon, vol. 40(4), pages 2865-2871.
    2. Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org.
    3. Robert F. Phillips, 2020. "Quantifying the Advantages of Forward Orthogonal Deviations for Long Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 653-672, February.
    4. Robert F. Phillips, 2019. "A Comparison of First-Difference and Forward Orthogonal Deviations GMM," Papers 1907.12880, arXiv.org.

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    More about this item

    Keywords

    Forward orthogonal demeaning; Forward orthogonal deviations; Cholesky factorization; Two-stage least squares;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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