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Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

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  • Jean-Bernard Chatelain

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a subset of moment conditions.

Suggested Citation

  • Jean-Bernard Chatelain, 2007. "Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Post-Print halshs-00112514, HAL.
    • Handle: RePEc:hal:journl:halshs-00112514
    DOI: 10.1016/j.econlet.2006.11.011
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00112514v2
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
    3. Martin S. Eichenbaum & Lars Peter Hansen & Kenneth J. Singleton, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 103(1), pages 51-78.
    4. Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003. "Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 731-742, 04/05.
    5. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.
    6. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
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    Cited by:

    1. Xuemei Fan & Ziyue Nan & Yuanhang Ma & Yingdan Zhang & Fei Han, 2021. "Research on the Spatio-Temporal Impacts of Environmental Factors on the Fresh Agricultural Product Supply Chain and the Spatial Differentiation Issue—An Empirical Research on 31 Chinese Provinces," IJERPH, MDPI, vol. 18(22), pages 1-26, November.
    2. Chatelain, Jean-Bernard & Ralf, Kirsten, 2021. "Inference on time-invariant variables using panel data: A pretest estimator," Economic Modelling, Elsevier, vol. 97(C), pages 157-166.
    3. Jean-Bernard Chatelain & Andre Tiomo, 2003. "Monetary Policy and Corporate Investment in France," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112523, HAL.
    4. Frahan, Bruno Henry de & Nkunzimana, Tharcisse & De Blander, Rembert & Gaspart, Frederic & Sumner, Daniel A., 2008. "Farm Household Incomes And Reforming The Cap," 109th Seminar, November 20-21, 2008, Viterbo, Italy 44814, European Association of Agricultural Economists.

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