Improving consistent moment selection procedures for generalized method of moments estimation

被引：3
|
作者：
Chatelain, Jean-Bernard [1 ]
机构：
[1] Univ Paris 10, CEPREMAP, PSE & Economix, F-94220 Charenton Le Pont, France
来源：
ECONOMICS LETTERS | 2007年 / 95卷 / 03期
关键词：
generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; consistent moment selection;
D O I：
10.1016/j.econlet.2006.11.011
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions [Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054] and on the Eichenbaum, Hansen and Singleton test of the validity of a subset of moment conditions [Eichenbaum, M.S., Hansen, L.P., Singleton, K.J., 1988. A Time Series Analysis of Representative Agents Models of Consumption and Leisure Choice Under Uncertainty. Quarterly Journal of Economics 103, 51-78]. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：380 / 385
页数：6
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