A general diagnostic of the normal approximation in GMM models

DOI10.1093/ECTJ/UTAF005MaRDI QIDQ6864713zbMATH OpenFDO

Authors Andrew B. Wang

Publication date 3 February 2026

Published in The Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ECTJ/UTAF005

zbMATH Keywords

asymptotic inferenceeconometricsGMMMCMCquasi-Bayes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Robust Test for Weak Instruments
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• Estimation When a Parameter is on a Boundary
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• GMM with Weak Identification
• Instrumental Variables Regression with Weak Instruments
• On asymptotic size distortions in the random coefficients logit model
• Optimal decision rules for weak GMM
• Slice sampling. (With discussions and rejoinder)
• Testing for altruism and social pressure in charitable giving
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis

Cited in

(1)

• Communicating scientific uncertainty via approximate posteriors

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