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

DOI10.1080/02331888.2020.1737867zbMath1435.62083OpenAlexW3011341398MaRDI QIDQ5222214

Oleksandr Zhylyevskyy, Serguey Khovansky

Publication date: 1 April 2020

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2020.1737867

zbMATH Keywords

generalized method of momentscommon data shocksingle cross-section

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
• Estimation When a Parameter is on a Boundary
• Cross-Section Regression with Common Shocks
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