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 [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a subset of moment conditions.

MoreLess

Year of publication:	2007
Authors:	Chatelain, Jean-Bernard
Institutions:	HAL

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00112514v2
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008795173