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Let vtw) denote (an infeasible) consistent estimator of this covariance matrix. This latter estimator is typically made operational by substituting a consistent estimator for (3.
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Finite Sample Properties of Some Alternative Gmm Estimators (Classic Reprint)
Print on DemandSeller: Forgotten Books, London, United Kingdom
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Paperback. Condition: New. Print on Demand. This book dissects the limitations of traditional econometric methods commonly used in the study of asset pricing models. The author proposes alternative estimators that are asymptotically efficient. These methods are categorized into two-step, iterative, and continuous-updating estimators. The author then compares the finite sample properties of each, including bias, efficiency, coverage accuracy, and power. Using simulations calibrated to monthly and annual time series data, the author demonstrates that two-step and iterative estimators often suffer from severe finite sample biases and exhibit substantial size distortions in tests of overidentifying restrictions. In contrast, the continuous-updating estimator performs well, even in small samples, and often outperforms the other estimators. Notably, the continuous-updating estimator is invariant to how the moment conditions are scaled. The author's findings suggest that researchers should reconsider their traditional reliance on two-step and iterative GMM estimators in favor of continuous-updating GMM, especially when sample sizes are small or when the moment conditions are nonlinear in the parameters of interest. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Seller Inventory # 9781334433986_0
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Finite Sample Properties of Some Alternative Gmm Estimators Classic Reprint
Seller: PBShop.store US, Wood Dale, IL, U.S.A.
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PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LW-9781334433986
Quantity: 15 available
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Finite Sample Properties of Some Alternative Gmm Estimators Classic Reprint
Seller: PBShop.store UK, Fairford, GLOS, United Kingdom
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LW-9781334433986
Quantity: 15 available