Large Sample Properties of Generalized Method of Moments Estimators Export

@article{citeulike:1155588, abstract = {This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose large sample properties have not heretofore been discussed, is provided.}, author = {Hansen, Lars P.}, citeulike-article-id = {1155588}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/1912775}, citeulike-linkout-1 = {http://www.jstor.org/stable/1912775}, doi = {10.2307/1912775}, journal = {Econometrica}, keywords = {480-2, econometrics, gmm}, number = {4}, pages = {1029--1054}, posted-at = {2007-03-12 15:44:49}, priority = {2}, title = {Large Sample Properties of Generalized Method of Moments Estimators}, url = {http://dx.doi.org/10.2307/1912775}, volume = {50}, year = {1982} }

TY - JOUR ID - citeulike:1155588 L3 - citeulike-article-id:1155588 N2 - This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose large sample properties have not heretofore been discussed, is provided. IS - 4 JF - Econometrica EP - 1054 TI - Large Sample Properties of Generalized Method of Moments Estimators VL - 50 SP - 1029 KW - 480-2 KW - econometrics KW - gmm AU - Hansen, Lars PY - 1982/// UR - http://dx.doi.org/10.2307/1912775 ER -