A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators (Q1073525)

For many time series estimation problems, there is an infinite- dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses martingale difference approximations as suggested by \textit{M. I. Gordin} [Dokl. Akad. Nauk SSSR 188, 739-741 (1969; Zbl 0212.500)] and a matrix version of Hilbert space methods.