Results 61 to 70 of about 39,652 (196)
GMM estimation with noncausal instruments under rational expectations [PDF]
There is hope for the generalized method of moments (GMM). Lanne and Saikkonen (2011) show that the GMM estimator is inconsistent, when the instruments are lags of noncausal variables.
Lof, Matthijs
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GMM Estimation and Uniform Subvector Inference with Possible Identification Failure [PDF]
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CS's) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space ...
Donald W.K. Andrews, Xu Cheng
core
The Nonexistence of Instrumental Variables [PDF]
The method of instrumental variables (IV) and the generalized method of moments (GMM) and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics require data on a sufficient number of instrumental ...
George S. Tavlas +2 more
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How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata [PDF]
The Arellano-Bond (1991) and Arellano-Bover (1995)/Blundell-Bond (1998) linear generalized method of moments (GMM) estimators are increasingly popular. Both are general estimators designed for situations with "small T, large N" panels, meaning few time ...
David Roodman
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Binary models with misclassification in the variable of interest [PDF]
, 2004 In this paper we propose a general framework to deal with datasets where a binary outcome is subject to misclassification and, for some sampling units, neither the error-prone variable of interest nor the covariates are recorded.
Ramalho, Esmeralda
core
The Generalized Method of Moments [PDF]
We continue presenting recent achievements in econometrics not yet widely known to a Russian reader. The generalized method of moments (GMM) was introduced to econometrical research by L. Hansen in his seminal paper in 1982.
Slutskin, Lev
core
Generalized Method of Integrated Moments for High‐Frequency Data
, 2016 We propose a semiparametric two‐step inference procedure for a finite‐dimensional parameter based on moment conditions constructed from high‐frequency data.
Jia Li, D. Xiu
semanticscholar +1 more source
The effects of non-audit fees on audit fees during the financial crisis [PDF]
REGE Revista de GestãoPurpose – This study examines the impact of non-audit fees, auditor tenure, and auditor size on audit fees in Germany, France, Italy, and Spain, separately and collectively, for a large sample of non-financial companies during the 2008/2009 global ...
Maria I. Kyriakou
doaj +1 more source
Combination of multivariate volatility forecasts [PDF]
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM).
Alessandra Amendola, Giuseppe Storti
core
Bayesian interpretation of Generalized empirical likelihood by maximum entropy [PDF]
, 2011 We study a parametric estimation problem related to moment condition models. As an alternative to the generalized empirical likelihood (GEL) and the generalized method of moments (GMM), a Bayesian approach to the problem can be adopted, extending the MEM
Rochet, Paul
core +2 more sources