While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most … instance, standard GMM counteracts that exogenous regressors are used as their own optimal instruments. This is easily seen … after transmuting GMM for linear models into IV in terms of transformed variables. It is demonstrated that modified GMM …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …