Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70700
Authors: 
Gospodinov, Nikolay
Kan, Raymond
Robotti, Cesare
Year of Publication: 
2010
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2010-11
Abstract: 
In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (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 nonstandard 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.
Subjects: 
GMM
JEL: 
C13
C32
G12
Document Type: 
Working Paper

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