GMM with more moment conditions than observations

DOI10.1016/J.ECONLET.2007.06.036zbMath1255.62380OpenAlexW2018281646MaRDI QIDQ1934747

Yanyan Li

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.06.036

zbMATH Keywords

generalized method of momentsgeneralized inverses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)

Related Items (3)

Panel data models with multiple time-varying individual effects ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE

Cites Work

• Estimation of a panel data model with parametric temporal variation in individual effects
• GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

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