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Large Sample Properties of Generalized Method of Moments Estimators

by Lars P Hansen
Econometrica ()


This paper studies estimators that make sample analogues of population\northogonality conditions close to zero. Strong consistency and asymptotic\nnormality of such estimators is established under the assumption\nthat the observable variables are stationary and ergodic. Since many\nlinear and nonlinear econometric estimators reside within the class\nof estimators studied in this paper, a convenient summary of the\nlarge sample properties of these estimators, including some whose\nlarge sample properties have not heretofore been discussed, is provided.

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