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Generalized Moments Estimation for Panel Data

Druska, Viliam - 2003

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

Persistent link: https://www.econbiz.de/10012469113

Moment Restrictions for Nonlinear Panel Data Models with Feedback

Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - National Bureau of Economic Research - 2025

Many panel data methods, while allowing for general dependence between covariates and time-invariant agent … panel data models and present constructive methods to derive feasible moment-based estimators for specific models. We also …

Persistent link: https://www.econbiz.de/10015421917

The Price and Quantity of Interest Rate Risk

Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - National Bureau of Economic Research - 2021

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two...

Persistent link: https://www.econbiz.de/10012482660

Missing Data in Asset Pricing Panels

Freyberger, Joachim; Höppner, Björn; Neuhierl, Andreas; … - National Bureau of Economic Research - 2022

computationally costly GMM estimator in many cases. We apply our procedure to a large panel of return predictors and find that it …

Persistent link: https://www.econbiz.de/10013477253

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Persistent link: https://www.econbiz.de/10012464236

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H. - 1996

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

Persistent link: https://www.econbiz.de/10012473199

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G. - 1994

We examine the small sample properties of the GMM estimator for models of covariance structures, where the technique is often referred to as the optimal minimum distance (OMD) estimator. We present a variety of Monte Carlo experiments based on simulated data and on the data used by Abowd and...

Persistent link: https://www.econbiz.de/10012474166

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig - 1994

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10012474200

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Andrews, Isaiah - 2014

We propose a local measure of the relationship between parameter estimates and the moments of the data they depend on. Our measure can be computed at negligible cost even for complex structural models. We argue that reporting this measure can increase the transparency of structural estimates,...

Persistent link: https://www.econbiz.de/10012457992

A User's Guide to Inference in Models Defined by Moment Inequalities

Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023

Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading over a wide range of fields within economics. From the point of view of an empirical researcher, the literature on inference in moment inequality models is large and complex,...

Persistent link: https://www.econbiz.de/10014247961