Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - In: Journal of Business & Economic Statistics 30 (2012) 4, pp. 494-504
In this article, we examine the limiting behavior of generalized method of moments (GMM) sample moment conditions and point out an important discontinuity that arises in their asymptotic distribution. We show that the part of the scaled sample moment conditions that gives rise to degeneracy in...