Redundancy of moment conditions

Trevor Breusch; Hailong Qian; Peter Schmidt; Donald Wyhowski

doi:10.1016/S0304-4076(98)00050-5

Redundancy of moment conditions

Trevor Breusch, Hailong Qian, Peter Schmidt^*, Donald Wyhowski

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

79 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	89-111
Number of pages	23
Journal	Journal of Econometrics
Volume	91
Issue number	1
DOIs	https://doi.org/10.1016/S0304-4076(98)00050-5
Publication status	Published - Jul 1999

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title = "Redundancy of moment conditions",

abstract = "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.",

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AU - Wyhowski, Donald

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AB - 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.

KW - Efficiency

KW - GMM

KW - Generalized method of moments

KW - Moment conditions

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Redundancy of moment conditions

Abstract

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