Generalized Method of Moments Estimation When a Parameter Is on a Boundary
- 1 October 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (4) , 530-544
- https://doi.org/10.1198/073500102288618667
Abstract
This article establishes the asymptotic distributions of generalized method of moments (GMM) estimators when the true parameter lies on the boundary of the parameter space. The conditions allow the...Keywords
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