Proofs for large sample properties of generalized method of moments estimators

Proofs for large sample properties of generalized method of moments estimators I present proofs for the consistency of generalized method of moments (GMM) estimators presented in Hansen (1982) . Some basic approximation results provide the groundwork for the analysis of a class of such estimators. Using these results, I establish the large sample convergence of GMM estimators under alternative restrictions on the estimation problem. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Econometrics Elsevier

Proofs for large sample properties of generalized method of moments estimators

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Publisher
Elsevier
Copyright
Copyright © 2012 Elsevier Ltd
ISSN
0304-4076
eISSN
1872-6895
D.O.I.
10.1016/j.jeconom.2012.05.008
Publisher site
See Article on Publisher Site

Abstract

I present proofs for the consistency of generalized method of moments (GMM) estimators presented in Hansen (1982) . Some basic approximation results provide the groundwork for the analysis of a class of such estimators. Using these results, I establish the large sample convergence of GMM estimators under alternative restrictions on the estimation problem.

Journal

Journal of EconometricsElsevier

Published: Oct 1, 2012

References

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