Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2014
specifically, we study the asymptotic properties of the standard GMM estimator and the Hansen J-test when additional moment … restrictions that are weaker than the original ones are available. We show that the consistency of the GMM estimator is not … the efficiency of GMM estimator. Finally, we study the behavior of the Hansen J-test to assess the compatibility between …