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Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

邮发代号 80-978

Frontiers of Economics in China  2016, Vol. 11 Issue (3): 468-497   https://doi.org/10.3868/s060-005-016-0025-7
  本期目录
Redundancy of Moment Conditions in Restricted GMM Estimation
Hailong Qian()
Department of Economics, John Cook School of Business, Saint Louis University, St. Louis, MO 63108, USA
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Abstract

Using a novel approach to calculating the rank of the difference of two asymptotic variance matrices, The author derives the necessary and sufficient conditions for an extra set of moment conditions to be redundant given a set of moment conditions in GMM estimation with general nonlinear restrictions. The necessary and sufficient conditions derived in this paper include as a special case the redundancy of moment conditions for GMM estimation without restrictions that was first derived by Breusch et al. (1999). Therefore this paper advances the research on redundancy of moment conditions from unrestricted GMM estimation to a larger class of GMM estimation. To show their usefulness, the main results of the current paper are applied to instrumental variables estimation of linear regression models and the efficient estimation of seemingly unrelated regressions models, subject to restrictions.

Key wordsGMM    restricted GMM estimation    moment conditions    redundancy of moment conditions    efficiency
出版日期: 2016-09-23
 引用本文:   
. [J]. Frontiers of Economics in China, 2016, 11(3): 468-497.
Hailong Qian. Redundancy of Moment Conditions in Restricted GMM Estimation. Front. Econ. China, 2016, 11(3): 468-497.
 链接本文:  
https://academic.hep.com.cn/fec/CN/10.3868/s060-005-016-0025-7
https://academic.hep.com.cn/fec/CN/Y2016/V11/I3/468
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