Redundancy of moment conditions

被引：82

作者：

Breusch, T

Qian, HL

Schmidt, P ^{[1
]}

Wyhowski, D

机构：

[1] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA

[2] Australian Natl Univ, Fac Commerce & Econ, Dept Stat, Canberra, ACT 0200, Australia

[3] Victoria Univ Wellington, Sch Econ & Finance, Econometr Grp, Wellington, New Zealand

来源：

JOURNAL OF ECONOMETRICS | 1999年 / 91卷 / 01期

基金：

美国国家科学基金会;

关键词：

GMM; generalized method of moments; moment conditions; efficiency;

D O I：

10.1016/S0304-4076(98)00050-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is well known that adding moment conditions cannot decrease asymptotic efficiency. However, sometimes additional moment conditions are redundant, in the sense that they do not increase the asymptotic efficiency of estimation for some or all of the parameters of interest. This paper gives a general treatment of redundancy of moment conditions. It provides necessary and sufficient conditions for redundancy, in several equivalent forms. The paper also provides interesting results for the case that there are three (or more) sets of moment conditions. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: C13.

引用

页码：89 / 111

页数：23

共 9 条

[1]

Ahu SC., 1995, ECONOMET REV, V14, P19, DOI DOI 10.1080/07474939508800301

[2] ASYMPTOTIC EFFICIENCY IN ESTIMATION WITH CONDITIONAL MOMENT RESTRICTIONS [J].