Further results on the limiting distribution of GMM sample moment conditions

Nikolay Gospodinov, Raymond Kan and Cesare Robotti ()

No 2010-11, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: 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.

Date: 2010
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Related works:
Journal Article: Further Results on the Limiting Distribution of GMM Sample Moment Conditions (2012)
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