The DOI matches its Crossref record.
Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
Abstract
This paper considers a generalized method of moments GMM estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. The procedures also can consistently determine whether there is a sufficient number of correct moment conditions to identify the unknown parameters of interest. The paper specifies moment selection criteria that are GMM analogues of the widely Ž.used BIC and AIC model selection criteria. The latter is not consistent. The paper also considers downward and upward testing procedures. All of the moment selection procedures discussed in this paper are based on the minimized values of the GMM criterion function for different vectors of moment conditions. The procedures are applicable in time-series and cross-sectional contexts. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
Covariate Balancing Propensity Score
Imai, K., & Ratkovic, M. (2014) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/rssb.12027 · Cited by 1,315
Kang, H., Zhang, A., Cai, T. T., & Small, D. S. (2016) · Journal of the American Statistical Association · doi:10.1080/01621459.2014.994705 · Cited by 265
On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments
Windmeijer, F., Farbmacher, H., Davies, N., & Davey Smith, G. (2019) · Journal of the American Statistical Association · doi:10.1080/01621459.2018.1498346 · Cited by 144
“The Andrews (1999) setup is more general than the Kang et al. (2016) setup and requires a large number of model evaluations, which has a negative impact on the performance of the selection procedure.”
Influential
Metadata
- Authors
- Andrews, D. W. K.
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 1999-05
- Volume
- 67
- Issue
- 3
- Pages
- 543-563
- ISSN
- 0012-9682 (ISSN-L)
- 1468-0262
- OpenAlex
- W2111678864
- Cited by
- 328
- References
- 0
- FWCI
- 4.49
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Consistent Moment Selection Procedures for Generalized Method of Moments Estimation. https://app.cochat.ai/papers/10.1111/1468-0262.00036
- The paper
- Andrews, D. W. K. (1999). Consistent Moment Selection Procedures for Generalized Method of Moments Estimation. Econometrica. https://doi.org/10.1111/1468-0262.00036
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
