Local GMM Estimation for Nonparametric Time-Varying Coefficient Moment Condition Models

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Abstract

We develop a local continuously updated GMM estimator for nonparametric time-varying coefficient moment condition models. The uniform consistency rate and the pointwise asymptotic normality of the proposed estimator are derived. Implementation issues regarding bandwidth selection, construction of pointwise confidence intervals, and testing for overidentifying restrictions are discussed. The finite sample performance of the proposed estimator and test statistic are investigated through a Monte Carlo study and an empirical application on asset pricing models with stochastic discount factor (SDF) representation.

Citation

Bai, Y. (2025). Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models. Journal of Time Series Analysis, forthcoming.

@article{bai2025local,
  title={Local GMM Estimation for Nonparametric Time-Varying Coefficient Moment Condition Models},
  author={Bai, Yu},
  journal={Journal of Time Series Analysis},
  year={2025},
  publisher={Wiley Online Library}}