On the Asymptotic Efficiency of GMM [PDF]
This paper derives conditions under which the generalized method of moments (GMM) estimator is as efficient as the maximum likelihood estimator (MLE). The data are supposed to be drawn from a parametric family and to be stationary Markov.
Jean-Pierre Florens, Marine Carrasco
core
Inflation Dynamics in the New EU Member States: How Relevant Are External Factors? [PDF]
In this paper we evaluate the relative influence of external versus domestic inflation drivers in the 12 new European Union (EU) member countries. Our empirical analysis is based on the New Keynesian Phillips Curve (NKPC) derived in Gali and Monacelli ...
Alexander Mihailov +2 more
core +6 more sources
Empirical Likelihood in Count Data Models: The Case of Endogenous Regressors [PDF]
Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have ...
Stefan Boes
core
"On Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator" [PDF]
The distributions of the Maximum Empirical Likelihood (MEL) estimator and the Generalized Method o Moments (GMM) estimator for the coe cient o one endogenous variable in a linear structural equation are evaluated numerically.Tables and gures are given ...
Naoto Kunitomo, Yukitoshi Matsushita
core
Size Matters: Covariance Matrix Estimation Under the Alternative [PDF]
The purpose of this paper is to investigate, using Monte Carlo methods, whether or not Hall's (2000) centered test of overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size ...
Jason Allen
core
EMPIRICAL STUDY ON THE SOLVENCY OF SMALL AND MEDIUM SIZED ENTERPRISES IN ROMANIA [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThe study examines the relationship between solvency and performance indicators dealing with assets, sales, owner’s equity and general profitability. We estimated models with panel generalized method of moments (GMM) across a decade using financial ...
CHERMEZAN LEONTINA , BĂTRÂNCEA LARISSA
doaj
Small Sample Properties of Maximum Likelihood Versus Generalized Method of Moments Based Tests for Spatially Autocorrelated Errors [PDF]
This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model.
Janette Walde +3 more
core
A Note on the Theme of Too Many Instruments [PDF]
The “difference” and “system” generalized method of moments (GMM) estimators for dynamic panel models are growing steadily in popularity. The estimators are designed for panels with short time dimensions (T), and by default they generate instruments sets
David Roodman
core +1 more source
Using Samples of Unequal Length in Generalized Method of Moments Estimation [PDF]
, 2004 Many applications in financial economics use data series with different starting or ending dates. This paper describes an estimation method, based on the generalized method of moments (GMM), which makes use of all available data for each moment condition.
Lynch, Anthony W., Wachter, Jessica A.
core
GMM with Many Moment Conditions [PDF]
This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak.
Chirok Han, Peter C.B. Phillips
core