GMM with more moment conditions than observations

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.

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Year of publication:	2008
Authors:	Satchachai, Panutat ; Schmidt, Peter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 2, p. 252-255
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005158887