Finite-sample properties of some alternative GMM estimators

被引：618
作者：
Hansen, LP
Heaton, J
Yaron, A
机构：
[1] NORTHWESTERN UNIV,JL KELLOGG GRAD SCH MANAGEMENT,EVANSTON,IL 60208
[2] CARNEGIE MELLON UNIV,GRAD SCH IND ADM,PITTSBURGH,PA 15213
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1996年 / 14卷 / 03期
关键词：
asset pricing; generalized method of moments; Monte Carlo;
D O I：
10.2307/1392442
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the small-sample properties of three alternative generalized method of moments (GMM) estimators of asset-pricing models. The estimators that we consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion functions.
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收藏
页码：262 / 280
页数：19
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