Closest Moment Estimationunder General Conditions
AbstractThis paper considers Closest Moment (CM) estimation with a general distance function, and avoids the assumption of nonsingular quadratic local behavior. The results of Manski , Newey , Pötscher and Prucha , and DE Jong and Han  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 InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2004)
Issue (Month): 74 ()
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- 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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