Sargan's Intrumental Variables Estimation and the Generalized Method of Moments
综述萨根在工具变量估计方面的贡献，包括效率、极小化极大估计量、过度识别检验、有限样本性质，以及与广义矩方法的联系。
This article surveys J. D. Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is discussed. His approach to efficiency, his minimax estimator, tests of overidentification and underidentification, and his later work on the finite-sample properties of IV estimators are reviewed. Next, his approach to modeling IV equations with serial correlation is discussed and compared with the GMM approach. Finally, Sargan's results for nonlinear-in-parameters IV models are described.