[R-SIG-Finance] GMM

[Eric Zivot]

No
OLS is a special case of GMM where the number of moment conditions is the same as the number of parameters. In this case the efficient weight matrix does not matter for estimation but does matter for the calculation of an estimate of the asymptotic variance matrix of the OLS parameters. This is what HAC standard errors do in the sandwich function vcovHAC()

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Pankaj K Agarwal via R-SIG-Finance
Sent: Monday, June 27, 2016 11:17 AM
To: R-sig-finance <r-sig-finance at r-project.org>
Cc: H.K Pradhan <pradhan at xlri.ac.in>
Subject: [R-SIG-Finance] GMM

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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