Corrects the asymptotic theory for GMM estimators under second-order identification by showing prior condition applies only to overidentification and providing distinct limiting distributions for exact and overidentified cases.
MPRA Workin g paper 88623, https://mpra.ub.uni-muenchen.de/88623/ (revised on 26 A ugust 2022)
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Large sample properties of GMM estimators under second-order identification
Corrects the asymptotic theory for GMM estimators under second-order identification by showing prior condition applies only to overidentification and providing distinct limiting distributions for exact and overidentified cases.