Asymptotic Equivalence of Closest Moments and GMM Estimators

Whitney Newey

Econometric Theory, 1988, vol. 4, issue 2, 336-340

Abstract: This note considers an asymptotic property of the class of closest moments estimators. Each such estimator is obtained by setting a vector of sample moments close to corresponding population moments. It is shown that each such estimator is asymptotically equivalent to a GMM estimator, which has a quadratic distance function. An implication of this result is that the estimator that is asymptotically efficient in the GMM class is also asymptotically efficient in the wider class of closest moment estimators.

Date: 1988
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