A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
Ahu, Seung C.; Schmidt, Peter; Ahu, Seung C.; Arizona State University; Schmidt, Peter; Michigan State University
Журнал:
Econometric Reviews
Дата:
1995
Аннотация:
Generalized method of moments estimates are unaffected by the addition of equal numbers of moment conditions and extra parameters. We prove thisresult and give examples of its use.
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