Chapter 3 GMM

Question 1

Prove that the empirical distribution is unbiased

Answer 1

suppose xi is iid and follows Fx.

Question 2

What is the convergence of the empirical distributive function?

Answer 2

Conclusion, the empirical distributive function is a good estimator for the distributive function

Question 3

What is a parameter estimator via bootstrap

Answer 3

where the estimator is unbiased and consistent and asymptotically normal for eta as B goes to infinity by LLCLT

Question 4

What is the system we have to solve in GMM?

Answer 4

Question 5

What happens if k=l

Answer 5

When n tends to infinity, the sample average converges to the expected values, so the sample averages will be our estimator (IV)

Question 6

How do we derive non-lineear t-stat (w)

Answer 6

Question 7

What happens witj the tests in chapter 2 if we have conditional homoskedasticity?

Answer 7

We have the same tests as in chapter 1 without having to assume normality