Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification
Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification
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Seoul: Institute of Economic Research
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English
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Seoul: Institute of Economic Research
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The asymptotic behavior of generalized method of moments (GMM) estimators depends critically on whether the underlying moment condition model is correctly specified. Hong and Li (2024) showed that GMM estimators with nonsmooth (nondirectionally differentiable) moment functions are at best n1/3 consistent under misspecification. Through simulations,...
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Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification
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TN_cdi_nrf_kci_oai_kci_go_kr_ARTI_10686482
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_nrf_kci_oai_kci_go_kr_ARTI_10686482
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ISSN
1225-0279
DOI
10.22904/sje.2025.38.1.002
