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Excerpt from Finite Sample Properties of Some Alternative Gmm Estimators
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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Excerpt from Finite Sample Properties of Some Alternative Gmm Estimators
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.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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Finite Sample Properties of Some Alternative Gmm Estimators (Classic Reprint)
Impresión bajo demandaLibrería: Forgotten Books, London, Reino Unido
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Paperback. Condición: 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. Nº de ref. del artículo: 9781334433986_0
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Finite Sample Properties of Some Alternative Gmm Estimators Classic Reprint
Librería: PBShop.store US, Wood Dale, IL, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000. Nº de ref. del artículo: LW-9781334433986
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Finite Sample Properties of Some Alternative Gmm Estimators Classic Reprint
Librería: PBShop.store UK, Fairford, GLOS, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000. Nº de ref. del artículo: LW-9781334433986
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