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A Scaled Difference Chi-Square Test Statistic for Moment Structure Analysis

Satorra, Albert; Bentler, Peter M. - 2000

A family of scaling corrections aimed to improve the chi-square approximation of goodness-of-fit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, Satorra-Bentler's (SB) scaling corrections are...

Persistent link: https://www.econbiz.de/10014173788

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - 2014

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and stochastic discount factor (SDF) methods, with centered and uncentered versions of the latter. We show that unlike standard two-step or iterated generalized method of moments (GMM)...

Persistent link: https://www.econbiz.de/10014048948

A Method of Moments Estimator of Tail Dependence

Einmahl, John H. J.; Krajina, Andrea; Segers, Johan - 2007

In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a...

Persistent link: https://www.econbiz.de/10014223096

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan F. - 2015

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...

Persistent link: https://www.econbiz.de/10013028784

Inference for Iterated GMM Under Misspecification and Clustering

Hansen, Bruce E.; Lee, Seojeong - 2019

This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments … with heterogeneous and growing cluster sizes. This paper is the first to provide a rigorous theory for the iterated GMM … asymptotic theory allows the moments to be possibly misspecified, which is a general feature of approximate over …

Persistent link: https://www.econbiz.de/10014033687

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco - 2011

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10013120500

Select the Valid and Relevant Moments : A One-Step Procedure for GMM with Many Moments

Cheng, Xu - 2013

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis ccommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013089571

Select the Valid and Relevant Moments : An Information-Based LASSO for GMM with Many Moments

Cheng, Xu - 2013

This paper studies the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

Persistent link: https://www.econbiz.de/10013074163

A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Zivot, Eric - 2009

Persistent link: https://www.econbiz.de/10013160293

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115