GMM and misspecification correction for misspecified models with diverging number of parameters
This paper considers statistical estimation by the generalized method of moments (GMM) when the model is misspecified. Focusing on the situation where the numbers of parameters and predictors tend to infinity as the sample size grows, the authors prove local and global consistency to and asymptotic normality around the solution to the estimation equation, what they call the pseudoparameter vector. Then the authors propose a semiparametric method to correct the misspecification and show its asymptotic properties. Although the numerical experiments with a simple regression model demonstrate the effectiveness of the correction method, they are a little too limited to verify the asymptotic properties.
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- Inference for iterated GMM under misspecification
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
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- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Inference for iterated GMM under misspecification
- Detection of the symmetry of model errors for partial linear single-index models
- A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation
- Analysis, detection and correction of misspecified discrete time state space models
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