Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Chatelain, Jean-Bernard
Publication date
January 2007
DOI Publisher
Elsevier ISSN
0165-1765 Citation count (estimate)
1Abstract
International audienceThis 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
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