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Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

Stock, James H. - 2018

An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the time series counterpart of the highly successful...

Persistent link: https://www.econbiz.de/10012929567

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 2021

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10013217239

Inference with Weak Instruments

Stock, James H.; Andrews, Donald W. K. - 2021

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

Persistent link: https://www.econbiz.de/10013228759

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/10012769647

Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross-sectional units. It is assumed that the disturbances are spatially correlated, based on some geographic or economic proximity measure. If the time dimension of the data is large, feasible...

Persistent link: https://www.econbiz.de/10013232767

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Gentzkow, Matthew - 2015

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/10013031825

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G.; Segal, Lewis M. - 2022

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/10013312527

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H.; Wright, Jonathan H. - 2022

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/10014158848

Factor Momentum and the Momentum Factor

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012892574

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky Sherman, Mila - 2010

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

Persistent link: https://www.econbiz.de/10012762841

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