ezivot at uw.edu
Tue Jun 28 18:55:19 CEST 2016
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()
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
[[alternative HTML version deleted]]
R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
More information about the R-SIG-Finance