Large Sample Properties of Generalized Method of Moments Estimators
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The asymptotic distribution of the second-stage estimates can be obtained by interpreting the two-stage procedure as a joint GMM estimator.
“The asymptotic distribution of the second-stage estimates can obtained by interpreting the two-stage procedure as a joint GMM estimator (Hansen, 1982).”
From Two-stage differences in differences (2022) · cites this paper as Hansen, 1982
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- Authors
- Hansen, L. P.
- Corresponding author
- Hansen, Lars Peter
- ORCID
- Hansen, Lars Peter
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1982-07
- Volume
- 50
- Issue
- 4
- Pages
- 1029
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2028995298
- Cited by
- 13,467
- References
- 0
- Citations by year
- 2026: 575 · 2025: 604 · 2024: 584 · 2023: 562 · 2022: 550 · 2021: 574 · 2020: 555 · 2019: 576 · 2018: 554 · 2017: 486 · 2016: 488 · 2015: 432 · 2014: 493 · 2013: 435 · 2012: 533
- FWCI
- 34.98
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Econometrica (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic theories and models
- Keywords
- generalized method of moments, large sample properties, consistency, asymptotic normality, root-n consistency, asymptotic efficiency, moment conditions
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