Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
AbstractThis paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen ) and on the Eichenbaum, Hansen and Singleton  test of the validity of a subset of moment conditions.
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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00112514.
Date of creation: 2007
Date of revision:
Publication status: Published, Economics Letters, 2007, 95, 3, 380-385
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Generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; Consistent Moment Selection;
Other versions of this item:
- Chatelain, Jean-Bernard, 2007. "Improving consistent moment selection procedures for generalized method of moments estimation," Economics Letters, Elsevier, vol. 95(3), pages 380-385, June.
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