Results 41 to 50 of about 53,512 (133)
, 2019 The reconstructed results of video II using GMM-offline ...
qun zhou (6318386) +2 more
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System GMM Estimation With A Small Sample [PDF]
Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small.
Marcelo Soto
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, 2019 The reconstructed results of video II using GMM-online ...
qun zhou (6318386) +2 more
core +1 more source
GMM Estimation of Empirical Growth Models [PDF]
This paper highlights a problem in using the first-difference GMM panel data estimator cross-country growth regressions. When the time series are persistent, the first-differenced GMM estimator can be poorly behaved, since lagged levels of the series ...
Anke Hoeffler +2 more
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GMM estimation of Multifractal Random Walks using an efficient algorithm for HAC covariance matrix estimation [PDF]
, 2010 This paper improves the estimation procedure of the Multifractal Random Walk model by means of an optimal iterated Generalized Method of Moments (GMM) estimator using an enhanced moments function.
Sattarhoff, Cristina
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Asymptotic Results for GMM Estimators of Stochastic Volatility Models [PDF]
We derive closed-form expressions for the optimal weighting matrix for GMM estimation of the stochastic volatility model with AR(1) log-volatility, and for the asymptotic covariance matrix of the resulting estimator.
Geert Dhaene, Olivier Vergote
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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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Testing interval forecasts: a GMM-based approach [PDF]
This paper proposes a new evaluation framework for interval forecasts. Our model free test can be used to evaluate intervals forecasts and High Density Regions, potentially discontinuous and/or asymmetric. Using a simple J-statistic, based on the moments
Christophe Hurlin +2 more
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Small Sample Bias Propreties of the System GMM Estimator in Dynamic Panel Data Models [PDF]
This paper examines analytically and experimentally why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments.
Kazuhiko Hayakawa
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An Alternative System GMM Estimation in Dynamic Panel Models [PDF]
The system GMM estimator in dynamic panel data models which combines two moment conditions, i.e., for the differenced equation and for the model in levels, is known to be more efficient than the first-difference GMM estimator. However, an initial optimal
Housung Jung, Hyeog Ug Kwon
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