finite sample performance characteristics that dominate other procedures, such as bias corrected least squares, GMM and … system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large …

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number … certain regularity conditions, the GMM estimators are shown to converge in probability but not necessarily to the true … parameter, and conditions for consistent GMM estimation are given. A general framework for the GMM limit distribution theory is …

for the "verify-out-of-sample" case. We show that sieve conditional expectation projection based GMM estimators achieve … mild regularity conditions. Although inverse probability weighting based GMM estimators are also shown to be …

(GIVE) method and the generalized method of moments (GMM) estimator are developed. In models with both stationary and … nonstationary components, the FM-GIVE and FM-GMM techniques provide efficiency gains over FM-IV in the estimation of the stationary … and GMM estimators with respect to the stationary components. The theory applies even when there is no prior knowledge of …

that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates. …

changes when the funds are allowed to leverage, i.e., borrow from a bank, which allows them to purchase more assets than their … wealth would otherwise permit. During good times funds that use more leverage have higher profits, increasing their wealth … losses, volatility is high. This leads to power law tails which are both due to the leverage-induced crashes and due to the …

think about default, collateral, and leverage as the central features of the financial/macro economy, despite their complete …

when the funds are allowed to leverage, i.e. borrow from a bank, to purchase more assets than their wealth would otherwise … permit. During good times competition drives investors to funds that use more leverage, because they have higher profits. As … leverage increases price fluctuations become heavy tailed and display clustered volatility, similar to what is observed in real …