Supplementary Appendix to \ On Standard Inference for GMM with Local Identi cation Failure of Known Forms "

@inproceedings{Lee2017SupplementaryAT,
  title={Supplementary Appendix to \ On Standard Inference for GMM with Local Identi cation Failure of Known Forms "},
  author={Ji Hyung Lee and Zhipeng Liao},
  year={2017}
}
This online Appendix provides supporting lemmas, proofs, further theoretical exercises and extra simulations to complement Lee and Liao (2017). A Two Extensions This section presents the extension of the main results established in Section 2 of Lee and Liao (2017) (cited as LL (2017) hereafter). We show that the properties of the GMM estimator can still be improved when the Jacobian of moment conditions is not zero but is known to have rank r0 smaller than p. We illustrate such improvement in… CONTINUE READING

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On Standard Inference for GMM with Local Identi cation Failure of Known Forms

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