Abstract
This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions [Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, 1029–1054] and on the Eichenbaum, Hansen and Singleton test of the validity of a subset of moment conditions [Eichenbaum, M.S., Hansen, L.P., Singleton, K.J., 1988. A Time Series Analysis of Representative Agents Models of Consumption and Leisure Choice Under Uncertainty. Quarterly Journal of Economics 103, 51–78].
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