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Asymptotic Equivalence of Closest Moments and GMM Estimators

Published online by Cambridge University Press:  18 October 2010

Whitney K. Newey
Whitney K. Newey*
Affiliation:
Princeton University
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Extract

This note considers an asymptotic property of the class of closest moments estimators. Each such estimator is obtained by setting a vector of sample moments close to corresponding population moments. It is shown that each such estimator is asymptotically equivalent to a GMM estimator, which has a quadratic distance function. An implication of this result is that the estimator that is asymptotically efficient in the GMM class is also asymptotically efficient in the wider class of closest moment estimators.

Type
Brief Report
Information
Econometric Theory , Volume 4 , Issue 2 , August 1988 , pp. 336 - 340
Copyright
Copyright © Cambridge University Press 1988 

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References

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