## An Artificial Regression for GMM Estimation

Another useful artificial regression, much less well known than the OPG regression, is available for a class of models estimated by the generalized method of moments (GMM). Many such models can be formulated in terms of functions f(0) of the model parameters and the data, such that, when they are evaluated at the true 0, their expectations conditional on corresponding information sets, Qt, vanish. The Qt usually contain all information available prior to the time of observation, and so, as with the GNR and the OPG regression, lags of dependent variables are allowed.

Let the n x l matrix W denote the instruments used to obtain the GMM estimates. The tth row of W, denoted Wt, must contain variables in Qt only...

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