Generalization of GMM to a continuum of moment conditions Marine Carrasco CREST and The Ohio State University

@inproceedings{Florens1999GeneralizationOG,
  title={Generalization of GMM to a continuum of moment conditions Marine Carrasco CREST and The Ohio State University},
  author={Jean-Pierre Florens},
  year={1999}
}
  • Jean-Pierre Florens
  • Published 1999
This paper proposes a version of the Generalized Method of Moments procedure that handles both the case where the number of moment conditions is nite and the case where there is a continuum of moment conditions. Typically, the moment conditions are indexed by an index parameter that takes its values in an interval. The objective function to minimize is then the norm of the moment conditions in a Hilbert space. The estimator is shown to be consistent and asymptotically normal. The optimal… CONTINUE READING
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