A note on a cross-sectional GMM estimator in the presence of an observable common shock.
- Resource Type
- Article
- Authors
- Khovansky, Serguey; Zhylyevskyy, Oleksandr
- Source
- Statistics. Apr2020, Vol. 54 Issue 2, p415-423. 9p.
- Subject
- *INFERENTIAL statistics
*GENERALIZED method of moments
*ECONOMIC shock
- Language
- ISSN
- 0233-1888
This paper studies property of a modified GMM estimator employed for a single cross-section of data that are strongly dependent due to an observed stochastic common shock. The estimator is shown to be asymptotically mixed normal. Statistical inference can be conducted with a Wald test. An overidentifying restrictions test is suggested. [ABSTRACT FROM AUTHOR]