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A separability result for gmm estimation, with applications to gls prediction and conditional moment tests

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Author Info
Seung Ahu
Peter Schmidt

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Abstract

Generalized method of moments estimates are unaffected by the addition of equal numbers of moment conditions and extra parameters. We prove thisresult and give examples of its use.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/07474939508800301&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 14 (1995)
Issue (Month): 1 ()
Pages: 19-34
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Handle: RePEc:taf:emetrv:v:14:y:1995:i:1:p:19-34

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Related research
Keywords: Generalized Method Of Moments; Prediction; Conditional Moment Tests;

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Céline Nauges & Alban Thomas, 2003. "Consistent estimation of dynamic panel data models with time-varying individual effects," Annales d'Economie et de Statistique, ADRES, issue 70, pages 03, Avril-Jui. [Downloadable!]
  3. Artem Prokhorov & Peter Schmidt, 2008. "GMM Redundancy Results for General Missing Data Problems," Working Papers 08003, Concordia University, Department of Economics. [Downloadable!]
    Other versions:
  4. Brännäs, Kurt, 2002. "Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data," UmeÃ¥ Economic Studies 592, Umeå University, Department of Economics. [Downloadable!]
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This page was last updated on 2010-1-6.

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