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GMM with more moment conditions than observations

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  • Satchachai, Panutat
  • Schmidt, Peter

Abstract

When 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 Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 2 (May)
Pages: 252-255

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:252-255

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Peter Schmidt & Chirok Han & Luis Orea, 2004. "Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects," Econometric Society 2004 Far Eastern Meetings 519, Econometric Society.
  2. 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.
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Cited by:
  1. 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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