| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062503 | Economics Letters | 2007 | 6 Pages |
Abstract
This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions [Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054] and on the Eichenbaum, Hansen and Singleton test of the validity of a subset of moment conditions [Eichenbaum, M.S., Hansen, L.P., Singleton, K.J., 1988. A Time Series Analysis of Representative Agents Models of Consumption and Leisure Choice Under Uncertainty. Quarterly Journal of Economics 103, 51-78].
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jean-Bernard Chatelain,