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.
- Diagnostic test
- Root-n asymptotic normality
ASJC Scopus subject areas
- Statistics and Probability
- Social Sciences (miscellaneous)
- Economics and Econometrics
- Statistics, Probability and Uncertainty