Improved instrumental variables and generalized method of moments estimators
This paper considers GMM estimation with moment conditions of the usual type, plus extra moment conditions that do not depend on the parameters. The extra moment conditions improve efficiency if they are correlated with the original set of moment conditions. This is true in linear and nonlinear mode...
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| Veröffentlicht in: | Journal of econometrics 1999-07, Vol.91 (1), p.145-169 |
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| container_title | Journal of econometrics |
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| creator | Qian, Hailong Schmidt, Peter |
| description | This paper considers GMM estimation with moment conditions of the usual type, plus extra moment conditions that do not depend on the parameters. The extra moment conditions improve efficiency if they are correlated with the original set of moment conditions. This is true in linear and nonlinear models, but in linear models we provide simple, explicit formulas for the improved estimators. Our results may be useful in rational expectations models, in which an equation's error is a forecast error and the extra moment conditions would be forecast errors in related variables. |
| doi_str_mv | 10.1016/S0304-4076(98)00074-8 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 1999-07, Vol.91 (1), p.145-169 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38712798 |
| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Distribution theory Economic models Estimating techniques Estimation Exact sciences and technology Generalized method of moments GMM Improved GMM estimators Improved IV estimators Linear models Mathematics Moment conditions Monte Carlo simulation Non-linear models Nonparametric inference Probability and statistics Rational expectations Regression analysis Sciences and techniques of general use Statistics Studies |
| title | Improved instrumental variables and generalized method of moments estimators |
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