Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables. The paper specifies moment selection criteria that are GMM analogues of the widely used BIC and AIC model selection criteria. (The latter is not consistent.) The paper also considers downward and upward testing procedures.
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Volume (Year): 67 (1999)
Issue (Month): 3 (May)
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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.:
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Cowles Foundation Discussion Papers
1146R, Cowles Foundation for Research in Economics, Yale University.
- 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.
- White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-99, March.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997.
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- Kohn, Robert, 1983. "Consistent Estimation of Minimal Subset Dimension," Econometrica, Econometric Society, vol. 51(2), pages 367-76, March.
- Smith, Richard J, 1992. "Non-nested.Tests for Competing Models Estimated by Generalized Method of Moments," Econometrica, Econometric Society, vol. 60(4), pages 973-80, July.
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