[R-SIG-Finance] GMM

Mark Leeds markleeds2 at gmail.com
Mon Jun 27 20:35:46 CEST 2016

Hi : Yes but GMM is used more for either A) when the OLS assumptions are
not true ( i.e autocorrelation or heteroscedasticity. ) or B) you have a
function that is not
necessarily linear like it is in the case of OLS.

Also, Achim could definitely say more on this but there are various
techniques for the construction of HAC estimators so using sandwich may not
necessarily give the same results as GMM even in the OLS case.

On Mon, Jun 27, 2016 at 2:17 PM, Pankaj K Agarwal via R-SIG-Finance <
r-sig-finance at r-project.org> wrote:

> Apologies if this question is irrelevant for this group.
> Does using HAC standard errors (Newey and West: package sandwich) in OLS
> regression make using GMM (package: GMM) redundant?
>  Regards,Pankaj K Agarwal
> +91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
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