THE PROPERTIES OF Lp-GMM ESTIMATORS
研究了使用Lp距离而非标准二次距离的广义矩方法估计量，发现其根n一致但非渐近正态，且效率不优于L2-GMM。
This paper considers generalized method of moment–type estimators for which a criterion function is minimized that is not the “standard” quadratic distance measure but instead is a general L p distance measure. It is shown that the resulting estimators are root- n consistent but not in general asymptotically normally distributed, and we derive the limit distribution of these estimators. In addition, we prove that it is not possible to obtain estimators that are more efficient than the “usual” L 2 -GMM estimators by considering L p -GMM estimators. We also consider the issue of the choice of the weight matrix for L p -GMM estimators.