GMM with more moment conditions than observations

DOI10.1016/J.ECONLET.2007.06.036MaRDI QIDQ1934747zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.06.036

zbMATH Keywords

generalized inversesgeneralized method of moments

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Recommendations

• GMM with Many Moment Conditions
• GMM inference when the number of moment conditions in large
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
• Generalized Method of Moments With Many Weak Moment Conditions
• Generalization of GMM to a continuum of moment conditions

Cites work

• Estimation of a panel data model with parametric temporal variation in individual effects
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

Cited in

(4)

• GMM inference when the number of moment conditions in large
• An incidental parameters free inference approach for panels with common shocks
• Panel data models with multiple time-varying individual effects
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large

This page was built for publication: GMM with more moment conditions than observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934747)