GMM Estimation with Non‐causal Instruments under Rational Expectations*
指出在理性预期条件下，即使工具变量具有非因果自回归表示，GMM估计量仍可能一致，并通过线性推导和非线性资产定价模型模拟验证。
Abstract Lanne and Saikkonen [ Oxford Bulletin of Economics and Statistics (2011a) Vol. 73, pp. 581–592], show that the generalized method of moments (GMM) estimator is inconsistent, when the instruments are lags of variables that admit a non‐causal autoregressive representation. This article argues that this inconsistency depends on distributional assumptions, that do not always hold. In particular under rational expectations, the GMM estimator is found to be consistent. This result is derived in a linear context and illustrated by simulation of a nonlinear asset pricing model.