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...
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Published in | Journal of business & economic statistics Vol. 41; no. 2; pp. 339 - 348 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Alexandria
Taylor & Francis
03.04.2023
Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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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. |
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ISSN: | 0735-0015 1537-2707 |
DOI: | 10.1080/07350015.2021.2019047 |