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
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)
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