| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5096201 | Journal of Econometrics | 2012 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lars Peter Hansen,