GMM with more moment conditions than observations

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 2
Pages: 252-255

Authors (2)

Satchachai, Panutat (not in RePEc) Schmidt, Peter (Michigan State University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

When there are more moment conditions than observations, the usual GMM weighting matrix is singular. We show that using the generalized inverse is not a good idea. With continuous updating, the criterion function equals one for every parameter value.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:2:p:252-255
Journal Field
General
Author Count
2
Added to Database
2026-01-29