Redundancy of moment conditions

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 genera...

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Bibliographic Details
Published inJournal of econometrics Vol. 91; no. 1; pp. 89 - 111
Main Authors Breusch, Trevor, Qian, Hailong, Schmidt, Peter, Wyhowski, Donald
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.1999
Elsevier
Elsevier Sequoia S.A
SeriesJournal of Econometrics
Subjects
Econometrics
Efficiency
Estimation
Exact sciences and technology
Generalized method of moments
GMM
Mathematics
Matrix
Moment conditions
Parametric inference
Probability and statistics
Regression analysis
Sciences and techniques of general use
Statistics
Studies
Moment conditions
C13
Efficiency
GMM
Generalized method of moments
Parameter estimation
Statistical estimation
Estimator efficiency
Asymptotic efficiency
Asymptotic behavior
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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0304-4076
1872-6895
DOI:10.1016/S0304-4076(98)00050-5