Research Publication

For many time series estimation problems, there is an infinite-dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses martingale difference approximations as suggested by Gordon (1969) and a matrix version of Hilbert space methods.

Tag: GMM

@article{hansen1985method,
  title={A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators},
  author={Hansen, Lars Peter},
  journal={Journal of Econometrics},
  volume={30},
  number={1-2},
  pages={203--238},
  year={1985},
  publisher={Elsevier}
}