Document Zbl 1531.62189

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Bus. Econ. Stat.</a> <a href="/?q=in%3A509464" title="Articles in this Issue">41, No. 2, 339-348 (2023)</a>. </div> <div class="abstract">Summary: 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.</div> <div class="clear"></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A62P20" title="MSC2020">62P20</a> </td> <td class="space"> Applications of statistics to economics </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aconsistency">consistency</a>; <a href="/?q=ut%3Adiagnostic+test">diagnostic test</a>; <a href="/?q=ut%3Aroot-%5C%28n%5C%29+asymptotic+normality">root-$n$ asymptotic normality</a></div>  <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;">  </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function">  <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1531.62189" data-ciurl="/ci/07813286" data-biburl="/bibtex/07813286.bib" data-amsurl="/amsrefs/07813286.bib" data-xmlurl="/xml/07813286.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/07813286.pdf" title="Zbl 1531.62189 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1080/07350015.2021.2019047" aria-label="DOI for “Diagnostic testing of finite moment conditions for the consistency and root-$n$ asymptotic normality of the GMM and M estimators”" title="10.1080/07350015.2021.2019047">DOI</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Al-Sadoon, M. 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