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On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock

Serguey Khovansky and Oleksandr Zhylyevskyy ()

Statistics & Probability Letters, 2017, vol. 129, issue C, 196-202

Abstract: A standard version of Generalized Method of Moment (GMM) is inconsistent when applied to cross-sectional data that are strongly dependent due to an observed stochastic non-localized common shock. We suggest a modification of GMM and prove its consistency when such a shock affects the data.

Keywords: Generalized method of moments; Non-localized common data shock (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.05.017

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