A general diagnostic of the normal approximation in GMM models
GMM 模型中正态近似的一般诊断方法
Summary This paper proposes a diagnostic method for evaluating the quality of the normal approximation in generalized method of moments (GMM) models through sampling from a quasi-Bayesian parameter distribution. GMM estimates are consistent and asymptotically normal under certain regularity conditions, and researchers often assume normality when conducting inference. However, the literature has identified several violations to the normal approximation, such as in cases with…