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Closest Moment Estimationunder General Conditions

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  • Chirok HAN
  • Robert DE JONG

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.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2004)
Issue (Month): 74 ()
Pages: 1-13

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Handle: RePEc:adr:anecst:y:2004:i:74:p:01

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Cited by:
  1. Jonathan Hill, 2006. "Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form," Working Papers 0608, Florida International University, Department of Economics.

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