FINITE-SAMPLE PROPERTIES OF SOME ALTERNATIVE GMM ESTIMATORS

Authors
HANSEN LP HEATON J YARON A
Citation
Lp. Hansen et al., FINITE-SAMPLE PROPERTIES OF SOME ALTERNATIVE GMM ESTIMATORS, Journal of business & economic statistics, 14(3), 1996, pp. 262-280
Citations number
39
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Journal of business & economic statistics → ACNP
ISSN journal
07350015
Volume
14
Issue
3
Year of publication
1996
Pages
262 - 280
Database
ISI
SICI code
0735-0015(1996)14:3<262:FPOSAG>2.0.ZU;2-8
Abstract
We investigate the small-sample properties of three alternative genera lized 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 de voted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion funct ions.