Efficient GMM estimation with singular system of moment conditions

Standard generalised method of moments (GMM) estimation was developed for nonsingular system of moment conditions. However, many important economic models are characterised by singular system of moment conditions. This paper shows that efficient GMM estimation of such models can be achieved by using...

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Autor principal:	Zhiguo Xiao
Format:	Artigo
Idioma:	Inglês
Publicat:	Taylor & Francis Group 2020-07-01
Col·lecció:	Statistical Theory and Related Fields
Matèries:	singular moment condition models generalised method of moments reflexive generalised inverses imposing random noises
Accés en línia:	http://dx.doi.org/10.1080/24754269.2019.1653159
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