Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators

Common econometric analyses based on point estimates, standard errors, and confidence intervals presume the consistency and the root-n asymptotic normality of the GMM or M estimators. However, their key assumptions that data entail finite moments may not be always satisfied in applications. This art...

Full description

Saved in:
Bibliographic Details
Published inJournal of business & economic statistics Vol. 41; no. 2; pp. 339 - 348
Main Authors Sasaki, Yuya, Wang, Yulong
Format Journal Article
LanguageEnglish
Published Alexandria Taylor & Francis 03.04.2023
Taylor & Francis Ltd
Subjects
Consistency
Diagnostic test
Root-n asymptotic normality
Online AccessGet full text

Cover

More Information
Summary:Common econometric analyses based on point estimates, standard errors, and confidence intervals presume the consistency and the root-n asymptotic normality of the GMM or M estimators. However, their key assumptions that data entail finite moments may not be always satisfied in applications. This article proposes a method of diagnostic testing for these key assumptions with applications to both simulated and real datasets.
ISSN:0735-0015
1537-2707
DOI:10.1080/07350015.2021.2019047