Efficient GMM estimation with singular system of moment conditions  

作　　者：Zhiguo Xiao 

机构地区：[1]Department of Statistics,School of Management,Fudan University,Shanghai,People’s Republic of China

出　　处：《Statistical Theory and Related Fields》2020年第2期172-178,共7页统计理论及其应用（英文）

基　　金：supported by the National Natural Science Foundation of China(NSFC grant:71661137005,71473040 and 11571081).

摘　　要：Standard generalised method of moments(GMM)estimation was developed for nonsingular system of moment conditions.However,many important economic models are characterised by singular system of moment conditions.This paper shows that efficient GMM estimation of such models can be achieved by using the reflexive generalised inverses,in particular the Moore–Penrose generalised inverse,of the variance matrix of the sample moment conditions as the weighting matrix.We provide a consistent estimator of the optimal weighting matrix and establish its consistency.Potential issues of using generalised inverse and some remedies are also discussed.

关 键 词：Singular moment condition models generalised method of moments reflexive generalised inverses imposing random noises 

分 类 号：O17[理学—数学]