Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
This 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.
|Date of creation:||2007|
|Date of revision:|
|Publication status:||Published in Economics Letters, Elsevier, 2007, 95 (3), pp.380-385. <10.1016/j.econlet.2006.11.011>|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00112514v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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- Manuel Arellano & Stephen Bond, 1991.
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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.
- Jean-Bernard Chatelain & Andrea Generale & Philip Vermeulen & Michael Ehrmann & Jorge Martínez-Pagés & Andreas Worms, 2003.
"Monetary policy transmission in the euro area: New evidence from micro data on firms and banks,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003. "Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 731-742, 04/05.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201, May.
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