A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
- 1 January 1995
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 14 (1) , 19-34
- https://doi.org/10.1080/07474939508800301
Abstract
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.Keywords
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