Article ID Journal Published Year Pages File Type
5129729 Statistics & Probability Letters 2017 7 Pages PDF
Abstract

A standard version of Generalized Method of Moment (GMM) is inconsistent when applied to cross-sectional data that are strongly dependent due to an observed stochastic non-localized common shock. We suggest a modification of GMM and prove its consistency when such a shock affects the data.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
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