Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification
模型误设下非光滑矩条件 GMM 估计量的收敛速率
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,…