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Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

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Author Info
Jean-Bernard Chatelain () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)

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Abstract

This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a subset of moment conditions.

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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00112514_v2.

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Date of creation: 2007
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Publication status: Published, Economics Letters, 2007, 95, 3, 380-385
Handle: RePEc:hal:cesptp:halshs-00112514_v2

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00112514/en/
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Related research
Keywords: Generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; Consistent Moment Selection;

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References listed on IDEAS
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. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
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(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. Jean-Bernard Chatelain & Andre Tiomo, 2003. "Monetary Policy and Corporate Investment in France," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112523_v2, HAL. [Downloadable!]
  2. Henry de Frahan, Bruno & Nkunzimana, Tharcisse & De Blander, Rembert & Gaspart, Frederic & Sumner, Daniel A., 2008. "Farm Household Incomes And Reforming The Cap," 109th Seminar, November 20-21, 2008, Viterbo, Italy 44814, European Association of Agricultural Economists. [Downloadable!]
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This page was last updated on 2009-12-19.

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