Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators

Yuya Sasaki and Yulong Wang

Journal of Business & Economic Statistics, 2023, vol. 41, issue 2, 339-348

Abstract: Common econometric analyses based on point estimates, standard errors, and confidence intervals presume the consistency and the root-n asymptotic normality of the GMM or M estimators. However, their key assumptions that data entail finite moments may not be always satisfied in applications. This article proposes a method of diagnostic testing for these key assumptions with applications to both simulated and real datasets.

Date: 2023
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DOI: 10.1080/07350015.2021.2019047

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