Showing 1 - 10 of 762,410
This paper studies the averaging generalized method of moments (GMM) estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an...
Persistent link: https://www.econbiz.de/10013025551
In this paper we analyze the small sample properties of full information and limited information estimators in a potentially misspecified DSGE model. Therefore, we conduct a simulation study based on a standard New Keynesian model including price and wage rigidities. We then study the effects of...
Persistent link: https://www.econbiz.de/10009735826
Lagged variables are often used as instruments when the generalized method of moments (GMM) is applied to time series data. We show that if these variables follow noncausal autoregressive processes, their lags are not valid instruments and the GMM estimator is inconsistent. Moreover, in this...
Persistent link: https://www.econbiz.de/10014202738
regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend …
Persistent link: https://www.econbiz.de/10014081811
regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend …
Persistent link: https://www.econbiz.de/10014081836
Persistent link: https://www.econbiz.de/10009428065
Persistent link: https://www.econbiz.de/10010474930
and between rating buckets. However, the autocorrelation that is often present in time series of default rates leads to … systematically too low estimations. We propose a new estimator that adjusts for the problems of this autocorrelation and the …
Persistent link: https://www.econbiz.de/10012934045
In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...
Persistent link: https://www.econbiz.de/10012771849
We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates...
Persistent link: https://www.econbiz.de/10012936574