Large Sample Properties of Generalized Method of Moments Estimators

DOI10.2307/1912775zbMath0502.62098OpenAlexW2028995298WikidataQ60205200 ScholiaQ60205200MaRDI QIDQ61354

Lars Peter Hansen, Lars Peter Hansen

Publication date: July 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912775

zbMATH Keywords

asymptotic normalityergodicityheteroscedasticityserial correlationstationaritystrong consistencyorthogonality conditionsgeneralized method of moments estimatorstesting over-identifying restrictions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

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