Proofs for large sample properties of generalized method of moments estimators

I present proofs for the consistency of generalized method of moments (GMM) estimators presented in Hansen (1982). Some basic approximation results provide the groundwork for the analysis of a class of such estimators. Using these results, I establish the large sample convergence of GMM estimators under alternative restrictions on the estimation problem.

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Year of publication:	2012
Authors:	Hansen, Lars Peter
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 170.2012, 2, p. 325-330
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594966