It is well known that adding moment conditions cannot decrease asymptotic efficiency. However, sometimes additional moment conditions are redundant, in the sense that they do not increase the asymptotic efficiency of estimation for some or all of the parameters of interest. This paper gives a general treatment of redundancy of moment conditions. It provides necessary and sufficient conditions for redundancy, in several equivalent forms. The paper also provides interesting results for the case that there are three (or more) sets of moment conditions
This paper is concerned with tests and confidence intervals for partially-identified parameters that a...
The asymptotic relative efficiency of efficient method of moments when implemented with a seminonpar...
This paper presents optimal tests for violations of the moment conditions in the GMM framework. New ...
In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary ...
We consider questions of efficiency and redundancy in the GMM estimation problem in which we have tw...
In this paper, we propose a new class of asymptotically efficient estimators for moment condition mo...
We describe an intuitive, simple, and systematic approach to generating moment conditions for genera...
In econometrics, models stated as conditional moment restrictions are typically estimated by means o...
International audienceThis paper proposes consistent moment selection procedures for generalized met...
The efficiency of the generalized method of moment (GMM) estimator is addressed by using a character...
27 pagesThis paper addresses the problem of semiparametric efficiency bounds for conditional moment ...
This paper proposes weighted method of moments for estimating over-identified moment condition model...
OnlinePublThis paper proposes a robust moment selection method aiming to pick the best model even if...
This paper proposes consistent moment selection procedures for generalized method of moments estimat...
Model reduction by moment-matching relies upon the availability of the so-called moment . If the sys...
This paper is concerned with tests and confidence intervals for partially-identified parameters that a...
The asymptotic relative efficiency of efficient method of moments when implemented with a seminonpar...
This paper presents optimal tests for violations of the moment conditions in the GMM framework. New ...
In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary ...
We consider questions of efficiency and redundancy in the GMM estimation problem in which we have tw...
In this paper, we propose a new class of asymptotically efficient estimators for moment condition mo...
We describe an intuitive, simple, and systematic approach to generating moment conditions for genera...
In econometrics, models stated as conditional moment restrictions are typically estimated by means o...
International audienceThis paper proposes consistent moment selection procedures for generalized met...
The efficiency of the generalized method of moment (GMM) estimator is addressed by using a character...
27 pagesThis paper addresses the problem of semiparametric efficiency bounds for conditional moment ...
This paper proposes weighted method of moments for estimating over-identified moment condition model...
OnlinePublThis paper proposes a robust moment selection method aiming to pick the best model even if...
This paper proposes consistent moment selection procedures for generalized method of moments estimat...
Model reduction by moment-matching relies upon the availability of the so-called moment . If the sys...
This paper is concerned with tests and confidence intervals for partially-identified parameters that a...
The asymptotic relative efficiency of efficient method of moments when implemented with a seminonpar...
This paper presents optimal tests for violations of the moment conditions in the GMM framework. New ...