Further results on the limiting distribution of GMM sample moment conditions
AbstractIn this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a nonstandard limiting distribution. We derive the asymptotic distribution for a given linear combination of the sample moment conditions and show how to conduct statistical inference. We demonstrate the finite-sample properties of the proposed asymptotic approximation using simulation.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 2010-11.
Date of creation: 2010
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Other versions of this item:
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Further Results on the Limiting Distribution of GMM Sample Moment Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 30(4), pages 494-504, May.
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- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013.
"Chi-squared tests for evaluation and comparison of asset pricing models,"
Journal of Econometrics,
Elsevier, vol. 173(1), pages 108-125.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," Working Paper 2011-08, Federal Reserve Bank of Atlanta.
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