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Further results on the limiting distribution of GMM sample moment conditions

  • Nikolay Gospodinov
  • Raymond Kan
  • Cesare Robotti

In 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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Paper provided by Federal Reserve Bank of Atlanta in its series FRB Atlanta Working Paper with number 2010-11.

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Date of creation: 2010
Date of revision:
Handle: RePEc:fip:fedawp:2010-11
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