GMM with more moment conditions than observations
AbstractWhen 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 2 (May)
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- Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
- Seung C. Ahn & Young H. Lee & Peter Schmidt, 2006.
"Panel Data Models with Multiple Time-Varying Individual Effects,"
0702, University of Crete, Department of Economics.
- Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
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