Residual Normality and GMM

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Residual Normality and GMM

Postby learner » Mon Dec 03, 2012 10:24 am

Dear Sir

I want to know, what is the significance of Residual Normality in GMM, Is it as important as in OLS or more or less?



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Re: Residual Normality and GMM

Postby wolly77 » Thu Dec 06, 2012 8:43 am


I am not an expert on GMM estimations, but from the paper that I have read (Phillips curve estimation) it is clear that normality test is never reported. In estimations HAC weighting matrix is used for correcting for serial correlation and heteroskedasticity, and stop. In some cases (i.e., most recent papers) weak instruments tests are also used (Anderson and Rubin (1949)). But residual normality is never tested.

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