Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062181 | Economics Letters | 2008 | 4 Pages |
Abstract
When there are more moment conditions than observations, the usual GMM weighting matrix is singular. We show that using the generalized inverse is not a good idea. With continuous updating, the criterion function equals one for every parameter value.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Panutat Satchachai, Peter Schmidt,