Econometrics II

We examined the MA(1) process built on a stationary ergodic white noise. We were occupied with a GMM estimator using the sample first order autocovariance. In the case that the white noise process is comprised by i.i.d. variables with unit variance and finite fourth moment we examined the asymptotic properties of the GMM estimator. We finally noticed that in the case that we can't prove that the process we are interested in, is a s.m.d. in order to use the appropriate CLT for s.m.d. processes, we may use a generalization (Gordin's CLT). You can find notes here.