On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
type: Item
instance of: scholarly article
title: On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
zbMATH Open document ID: 1380.62101
author: Serguey Khovansky
author: Oleksandr Zhylyevskyy
published in: Statistics \& Probability Letters
publication date: 2017-12-22T00:00:00Z
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6821196
zbMATH Keywords: generalized method of moments
zbMATH Keywords: non-localized common data shock
MaRDI profile type: Publication
full work available at URL: j.spl.2017.05.017
OpenAlex ID: W2622151413
cites work: Cross-Section Regression with Common Shocks
cites work: Q4836494
cites work: Q4359973
cites work: Econometric specification of stochastic discount factor models
cites work: Q3911791
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: Q4039873
cites work: Uniform Convergence in Probability and Stochastic Equicontinuity
cites work: Conditional independence, conditional mixing and conditional association
cites work: Some conditional results for conditionally strong mixing sequences of random variables
DOI: 10.1016/J.SPL.2017.05.017
description: scientific article; zbMATH DE number 6821196