Research Publication

I present proofs for the consistency of generalized method of moments (GMM) estimators presented in Hansen (1982). Some basic approximation results provide the groundwork for the analysis of a class of such estimators. Using these results, I establish the large sample convergence of GMM estimators under alternative restrictions on the estimation problem.

@article{hansen:2012proofs,
  title={Proofs for Large Sample Properties of Generalized Method of Moments Estimators},
  author={Hansen, Lars Peter},
  journal={Journal of Econometrics},
  volume={170},
  number={2},
  pages={325--330},
  year={2012},
  publisher={Elsevier}
}