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矩条件误设下的有效 GMM 与加权矩阵AI 解读

This paper develops efficient GMM estimation when the moment conditions are misspecified. We observe that the influence function of the standard GMM estimator under misspecification depends on both the original moment conditions and their Jacobian, motivating a new class of estimators based on augmented moment conditions with recentering. The standard GMM estimator is a special case within this class, and generally suboptimal. By optimally weighting the augmented system, we…

模型误设下非光滑矩条件 GMM 估计量的收敛速率AI 解读

The asymptotic behavior of GMM estimators depends critically on whether the underlying moment condition model is correctly specified. Hong and Li (2023, Econometric Theory) showed that GMM estimators with nonsmooth (non-directionally differentiable) moment functions are at best $n^{1/3}$-consistent under misspecification. Through simulations, we verify the slower convergence rate of GMM estimators in such cases. For the two-step GMM estimator with an estimated weight matrix,…