A separability result for gmim estimation, with applications to gls prediction and conditional moment tests

Seung Ahn, Peter Schmidt

Research output: Contribution to journalArticle

17 Scopus citations

Abstract

Generalized method of moments estimates are unaffected by the addition of equal numbers of moment conditions and extra parameters. We prove this result and give examples of its use.

Original languageEnglish (US)
Pages (from-to)19-34
Number of pages16
JournalEconometric Reviews
Volume14
Issue number1
DOIs
StatePublished - Jan 1 1995

Keywords

  • Generalized method of moments
  • conditional
  • moment tests
  • prediction

ASJC Scopus subject areas

  • Economics and Econometrics

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