Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality

Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators

Yuya Sasaki, Yulong Wang

Journal of Business and Economic Statistics, January 2022

Yulong Wang

Economics Department

Center for Policy Research

Research Methods

Journal of Business and Economic Statistics

Yulong Wang

Common econometric analyses based on point estimates, standard errors, and confidence intervals presume the consistency and the root-n asymptotic normality of the GMM or M estimators. However, their key assumptions that data entail finite moments may not be always satisfied in applications. This article proposes a method of diagnostic testing for these key assumptions with applications to both simulated and real datasets.