[R-SIG-Finance] GMM

[Mark Leeds]

Thanks Eric for your explanation. But I'm a little confused. I understand
that in
the case of OLS, the system is perfectly identified. But are you saying that

A) if he used lm and sandwich, then he won't get a correct answer

B) that if he uses GMM, he won't get a correct answer  because it's not
designed
for perfectly identfied systems. ( i.e: there is no weighting matrix ).

C) if he uses both, he'll get different answers.

Thanks.

And to the person who asked the question originally, below is a short but
sweet intro to GMM.

http://lipas.uwasa.fi/~sjp/Teaching/gmm/lectures/gmmc3.pdf







On Tue, Jun 28, 2016 at 12:55 PM, Eric Zivot <ezivot at uw.edu> wrote:

> 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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>
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