arXiv 3 Jun 2020 · Econometrics · publishedJournal of Business and Economic Statistics (2021) · 9 citations (OpenAlex)
arXiv:2006.02541 · PDF · DOI · OpenAlex · Extracted main text
Common approaches to inference for structural and reduced-form parameters in empirical economic analysis are based on the consistency and the root-n asymptotic normality of the GMM and M estimators. The canonical consistency (respectively, root-n asymptotic normality) for these classes of estimators requires at least the first (respectively, second) moment of the score to be finite. In this article, we present a method of testing these conditions for the consistency and the root-n asymptotic normality of the GMM and M estimators. The proposed test controls size nearly uniformly over the set of data generating processes that are compatible with the null hypothesis. Simulation studies support this theoretical result. Applying the proposed test to the market share data from the Dominick's Finer Foods retail chain, we find that a common ad hoc procedure to deal with zero market shares in analysis of differentiated products markets results in a failure to satisfy the conditions for both the consistency and the root-n asymptotic normality.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gandhi, A., Z. Lu, and X. Shi (2017) Estimating demand for differentiated products with zeroes in market share data | 1.000 | 7 | 3 | 100% |
| 2 | De Haan, L. and A. Ferreira (2006) Extreme Value Theory: An Introduction | 0.941 | 6 | 3 | 83% |
| 3 | Elliott, G., U. K. Müller, and M. W. Watson (2015) Nearly optimal tests when a nuisance parameter is present under the null hypothesis | 0.737 | 3 | 3 | 67% |
| 4 | Cattaneo, M. D., R. K. Crump, and M. Jansson (2014) Small bandwidth asymptotics for density-weighted average derivatives | 0.644 | 2 | 2 | 100% |
| 5 | Kiefer, N. and T. J. Vogelsang (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests | 0.644 | 2 | 2 | 100% |
| 6 | Müller, U. K (2020) A more robust t-test | 0.644 | 2 | 2 | 100% |
| 7 | Shao, Q.-M., H. Yu, and J. Yu (2001) Do stock returns follow a finite variance distribution? | 0.511 | 2 | 1 | 100% |
| 8 | Ackerberg, D., C. L. Benkard, S. Berry, and A. Pakes (2007) Econometric tools for analyzing market outcomes | 0.405 | 1 | 1 | 100% |
| 9 | Al-Sadoon, M. M (2017) A unifying theory of tests of rank | 0.405 | 1 | 1 | 100% |
| 10 | Berry, S. T (1994) Estimating discrete-choice models of product differentiation | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 32 scored citations.