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

Yuya Sasaki, Yulong Wang

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish (US)
JournalJournal of Business and Economic Statistics
DOIs
StateAccepted/In press - 2022
Externally publishedYes

Keywords

  • Consistency
  • Diagnostic test
  • Root-n asymptotic normality

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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