Arbeitspapier
Further results on the limiting distribution of GMM sample moment conditions
In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a nonstandard limiting distribution. We derive the asymptotic distribution for a given linear combination of the sample moment conditions and show how to conduct statistical inference. We demonstrate the finite-sample properties of the proposed asymptotic approximation using simulation.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2010-11
- Classification
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Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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GMM
- Event
-
Geistige Schöpfung
- (who)
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Gospodinov, Nikolay
Kan, Raymond
Robotti, Cesare
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
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2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gospodinov, Nikolay
- Kan, Raymond
- Robotti, Cesare
- Federal Reserve Bank of Atlanta
Time of origin
- 2010
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