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

Seung Ahn; Peter Schmidt

doi:10.1080/07474939508800301

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

Seung Ahn
, Peter Schmidt

Economics

Research output: Contribution to journal › Article › peer-review

24 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 language	English (US)
Pages (from-to)	19-34
Number of pages	16
Journal	Econometric Reviews
Volume	14
Issue number	1
DOIs	https://doi.org/10.1080/07474939508800301
State	Published - Jan 1 1995

Keywords

Generalized method of moments
conditional
moment tests
prediction

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/07474939508800301

Cite this

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

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.",

keywords = "Generalized method of moments, conditional, moment tests, prediction",

author = "Seung Ahn and Peter Schmidt",

note = "Funding Information: The second author gratefully acknowledges the financial support of the National Science Foundation. The Editor thanks Mrs. Judy Habel and Mrs. Jo-Anne Hickey of the Journal office at SMU for typesetting the manuscript.",

year = "1995",

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AU - Ahn, Seung

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N1 - Funding Information: The second author gratefully acknowledges the financial support of the National Science Foundation. The Editor thanks Mrs. Judy Habel and Mrs. Jo-Anne Hickey of the Journal office at SMU for typesetting the manuscript.

PY - 1995/1/1

Y1 - 1995/1/1

N2 - 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.

AB - 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.

KW - Generalized method of moments

KW - conditional

KW - moment tests

KW - prediction

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JF - Econometric Reviews

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

Abstract

Keywords

ASJC Scopus subject areas

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