Proofs for large sample properties of generalized method of moments estimators

Lars Hansen

Journal of Econometrics, 2012, vol. 170, issue 2, 325-330

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.

Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:170:y:2012:i:2:p:325-330

DOI: 10.1016/j.jeconom.2012.05.008

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