Improving consistent moment selection procedures for generalized method of moments estimation. (English) Zbl 1255.62088
Summary: This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions [L.P. Hansen, Econometrica 50, 1029–1054 (1982; Zbl 0502.62098)] and on the Eichenbaum, Hansen and Singleton test of the validity of a subset of moment conditions [M.S. Eichenbaum, L.P. Hansen and K.J. Singleton, Q. J. Econ. 103, 51–78 (1988; Zbl 1254.91343)].
Keywords:
test of over-identifying restrictions; test of subset of over-identifying restrictions; consistent moment selectionReferences:
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