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Further Results On The Limiting Distribution Of GMM Sample Moment Conditions

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Executive Summary

In this paper, the authors extend the results in Hansen (1982) regarding the asymptotic distribution of Generalized Method of Moments (GMM) sample moment conditions. In particular, they show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a nonstandard limiting distribution. They derive the asymptotic distribution for a given linear combination of the sample moment conditions and show how to conduct statistical inference. They demonstrate the finite-sample properties of the proposed asymptotic approximation using simulation.

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