Closest Moment Estimationunder General Conditions

Chirok Han and Robert de Jong

Annals of Economics and Statistics, 2004, issue 74, 1-13

Abstract: This paper considers Closest Moment (CM) estimation with a general distance function, and avoids the assumption of nonsingular quadratic local behavior. The results of Manski [1983], Newey [1988], Pötscher and Prucha [1997], and DE Jong and Han [2002] are obtained as special cases. Consistency and a root-n rate of convergence are obtained under mild conditions on the distance function and on the moment conditions. We derive the limit distribution of CM estimators in a general setting, and show that the limit distribution is not necessarily normal. Asymptotic normality is obtained as a special case when the distance function displays nonsingular quadratic behavior.

Date: 2004
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