GMM with more moment conditions than observations
When there are more moment conditions than observations, the usual GMM weighting matrix is singular. We show that using the generalized inverse is not a good idea. With continuous updating, the criterion function equals one for every parameter value.
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- Peter Schmidt & Chirok Han & Luis Orea, 2004.
"Estimation of a Panel Data Model with Parametric Temporal Variation in Individual Effects,"
Econometric Society 2004 Far Eastern Meetings
519, Econometric Society.
- Han, Chirok & Orea, Luis & Schmidt, Peter, 2005. "Estimation of a panel data model with parametric temporal variation in individual effects," Journal of Econometrics, Elsevier, vol. 126(2), pages 241-267, June.
- Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
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