Further Results on the Limiting Distribution of GMM Sample Moment Conditions

31 Pages Posted: 15 Jul 2010 Last revised: 5 Jul 2014

See all articles by Nikolay Gospodinov

Nikolay Gospodinov

Federal Reserve Bank of Atlanta

Raymond Kan

University of Toronto - Rotman School of Management

Cesare Robotti

Warwick Business School

Date Written: May 7, 2012

Abstract

In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of 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 non-standard 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.

Keywords: GMM

JEL Classification: C13, C32, G12

Suggested Citation

Gospodinov, Nikolay and Kan, Raymond and Robotti, Cesare, Further Results on the Limiting Distribution of GMM Sample Moment Conditions (May 7, 2012). Journal of Business and Economic Statistics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1639543 or http://dx.doi.org/10.2139/ssrn.1639543

Nikolay Gospodinov (Contact Author)

Federal Reserve Bank of Atlanta ( email )

Atlanta, GA 30309
United States

HOME PAGE: https://www.frbatlanta.org/research/economists/gospodinov-nikolay.aspx?panel=1

Raymond Kan

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-978-4291 (Phone)
416-971-3048 (Fax)

Cesare Robotti

Warwick Business School ( email )

West Midlands, CV4 7AL
United Kingdom

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