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A Stopping Rule for the Computation of Generalized Method of Moments Estimators

Author

Listed:
  • Donald W. K. Andrews

Abstract

To obtain consistency and asymptotic normality, a generalized method of moments (GAM) estimator typically is defined to be an approximate global minimizer of a GAM criterion function. To compute such an estimator, however, can be problematic because of the difficulty of global optimization. To alleviate this problem, the author proposes a stopping-rule (SR) procedure for computing GAM estimators. The SR procedure eliminates the need for global search with high probability. And, it provides an explicit SR for problems of stability that may arise with local optimization problems.

Suggested Citation

  • Donald W. K. Andrews, 1997. "A Stopping Rule for the Computation of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 65(4), pages 913-932, July.
    • Handle: RePEc:ecm:emetrp:v:65:y:1997:i:4:p:913-932
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    Cited by:

    1. Le‐Yu Chen & Sokbae Lee, 2018. "Exact computation of GMM estimators for instrumental variable quantile regression models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 553-567, June.
    2. Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
    3. Jean-Jacques Forneron & Liang Zhong, 2023. "Convexity Not Required: Estimation of Smooth Moment Condition Models," Papers 2304.14386, arXiv.org, revised Jul 2025.
    4. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    5. Xiaohong Chen & Min Seong Kim & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2025. "SLIM: Stochastic Learning and Inference in Overidentified Models," Papers 2510.20996, arXiv.org, revised Oct 2025.
    6. Gupta, Abhimanyu, 2023. "Efficient closed-form estimation of large spatial autoregressions," Journal of Econometrics, Elsevier, vol. 232(1), pages 148-167.
    7. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
    8. Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
    9. Xiaohong Chen & Min Seong Kim & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2025. "SLIM: Stochastic Learning and Inference in Overidentified Models," Cowles Foundation Discussion Papers 2472, Cowles Foundation for Research in Economics, Yale University.
    10. Hong, Han & Mahajan, Aprajit & Nekipelov, Denis, 2015. "Extremum estimation and numerical derivatives," Journal of Econometrics, Elsevier, vol. 188(1), pages 250-263.
    11. Jean-Jacques Forneron, 2023. "Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models," Papers 2301.07196, arXiv.org, revised Aug 2025.
    12. Bilias, Yannis & Florios, Kostas & Skouras, Spyros, 2019. "Exact computation of Censored Least Absolute Deviations estimator," Journal of Econometrics, Elsevier, vol. 212(2), pages 584-606.
    13. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
    14. Christopher R. Knittel & Konstantinos Metaxoglou, 2008. "Estimation of Random Coefficient Demand Models: Challenges, Difficulties and Warnings," NBER Working Papers 14080, National Bureau of Economic Research, Inc.
    15. repec:awi:wpaper:0462 is not listed on IDEAS
    16. Sangdai Ryoo, 2002. "Testing for Sunspot in the Foreign Exchange Market," International Economic Journal, Taylor & Francis Journals, vol. 16(3), pages 39-58.
    17. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    18. Florios, Kostas & Skouras, Spyros, 2008. "Exact computation of max weighted score estimators," Journal of Econometrics, Elsevier, vol. 146(1), pages 86-91, September.

    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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