On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
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Publication:1687213
DOI10.1016/J.SPL.2017.05.017zbMath1380.62101OpenAlexW2622151413MaRDI QIDQ1687213
Serguey Khovansky, Oleksandr Zhylyevskyy
Publication date: 22 December 2017
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2017.05.017
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)
Related Items (1)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Econometric specification of stochastic discount factor models
- Some conditional results for conditionally strong mixing sequences of random variables
- Conditional independence, conditional mixing and conditional association
- Uniform Convergence in Probability and Stochastic Equicontinuity
- Cross-Section Regression with Common Shocks
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