GMM with Many Moment Conditions

DOI10.1111/j.1468-0262.2006.00652.xzbMath1112.62136MaRDI QIDQ5393883

Peter C. B. Phillips, Chirok Han

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d15/d1515.pdf

zbMATH Keywords

signal; GMM; irrelevant instruments; panel models; IV; epiconvergence; large numbers of instruments; LIML estimation; pseudo true value; signal variability; weak instrumentation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

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