On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock

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

zbMATH Keywords

generalized method of momentsnon-localized common data shock

Mathematics Subject Classification ID

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

Related Items (1)

A note on a cross-sectional GMM estimator in the presence of an observable common shock

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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