GMM and M Estimation under Network Dependence

Yuya Sasaki

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arXiv · 2503.00290

GMM and M Estimation under Network Dependence

Yuya Sasaki

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Abstract

This paper presents GMM and M estimators and their asymptotic properties for network-dependent data. To this end, I build on Kojevnikov, Marmer, and Song (KMS, 2021) and develop a novel uniform law of large numbers (ULLN), which is essential to ensure desired asymptotic behaviors of nonlinear estimators (e.g., Newey and McFadden, 1994, Section 2). Using this ULLN, I establish the consistency and asymptotic normality of both GMM and M estimators. For practical convenience, complete estimation and inference procedures are also provided.

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Yuya Sasaki. 2025-03-01. GMM and M Estimation under Network Dependence. https://arxiv.org/abs/2503.00290

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