Sargan's instrumental variables estimation and the generalized method of moments

被引：64

作者：

Arellano, M ^{[1
]}

机构：

[1] CEMFI, E-28014 Madrid, Spain

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2002年 / 20卷 / 04期

关键词：

errors in variables; finite-sample properties; minimax estimation; nonlinear models; serial correlation;

D O I：

10.1198/073500102288618595

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article surveys J. D. Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is discussed. His approach to efficiency, his minimax estimator, tests of overidentification and underidentification, and his later work on the finite-sample properties of IV estimators are reviewed. Next, his approach to modeling IV equations with serial correlation is discussed and compared with the GMM approach. Finally, Sargan's results for nonlinear-in-parameters IV models are described.

引用

页码：450 / 459

页数：10

共 58 条

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