IDEAS home Printed from https://ideas.repec.org/p/cmf/wpaper/wp2001_0110.html
   My bibliography  Save this paper

Sargan's Instrumental Variable Estimation and GMM

Author

Listed:
  • Manuel Arellano

Abstract

This paper surveys J. D. Sargan's work on instrumental variable estimation and its connections with the generalized method of moments. I first present the modelling context in which Sargan motivated instrumental variable estimation. Then I review the theory of instrumental variable estimation as developed in Sargan (1958). I discuss his approach to efficiency, his minimax estimator, tests of over- and under-identification, and his later work on the finite sample properties of IV estimators. Next, Sargan's approach to modelling IV equations with serial correlation is discussed and compared to the GMM approach. Finally I describe Sargan's (1959) results for non-linear in parameters IV models.

Suggested Citation

  • Manuel Arellano, 2001. "Sargan's Instrumental Variable Estimation and GMM," Working Papers wp2001_0110, CEMFI.
    • Handle: RePEc:cmf:wpaper:wp2001_0110
    as

    Download full text from publisher

    File URL: https://www.cemfi.es/ftp/wp/0110.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cmf:wpaper:wp2001_0110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Araceli Requerey (email available below). General contact details of provider: https://edirc.repec.org/data/cemfies.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.