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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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2020-07-01
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| Series: | Statistical Theory and Related Fields |
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| Online Access: | http://dx.doi.org/10.1080/24754269.2019.1653159 |