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Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

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Author Info
Ferson, Wayne E.
Foerster, Stephen R.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 36 (1994)
Issue (Month): 1 (August)
Pages: 29-55
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Handle: RePEc:eee:jfinec:v:36:y:1994:i:1:p:29-55

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  1. Perez, Marcos & Ahn, Seung Chan, 2007. "GMM Estimation of the Number of Latent Factors," MPRA Paper 4862, University Library of Munich, Germany. [Downloadable!]
  2. Vassalou, Maria, 2000. "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers 2448, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Min-Hsien Chiang & Chihwa Kao, 2005. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model," Economics Bulletin, Economics Bulletin, vol. 3(10), pages 1-13. [Downloadable!]
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  4. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June. [Downloadable!] (restricted)
  5. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  6. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York. [Downloadable!]
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  7. Post, G.T. & Versijp, P.J.P.M., 2004. "A GMM Test for SSD Efficiency," Research Paper ERS-2004-024-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  8. Florens, C. & Jondeau, E. & Le Bihan, H., 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Documents de Travail 83, Banque de France. [Downloadable!]
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  9. Joachim Inkmann, 2000. "Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation," CoFE Discussion Paper 00-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  10. Agnes S. Joseph & Jan F. Kiviet, 2004. "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers 04-056/4, Tinbergen Institute. [Downloadable!]
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  11. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
  12. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA. [Downloadable!]
  13. Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  14. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  15. Nicholas Apergis & Spyros Zikos, 2003. "The Law of Verdoorn: Evidence from Greek Disaggregated Manufacturing Time Series Data," The Economic and Social Review, Economic and Social Studies, vol. 34(1), pages 87–104. [Downloadable!]
  16. Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999. "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers 99-04, University of Iowa, Department of Economics. [Downloadable!]
  17. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO. [Downloadable!]
  18. Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  19. J. Andrew Coutts, Terence C. Mills, Jennifer Roberts, 1997. "Time series and cross-section parameter stability in the market model: the implications for event studies," European Journal of Finance, Taylor and Francis Journals, vol. 3(3), pages 243-259, September. [Downloadable!] (restricted)
  20. Kim Nummelin & Mika Vaihekoski, 2002. "World capital markets and Finnish stock returns," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 322-343, September. [Downloadable!] (restricted)
  21. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group. [Downloadable!]
  22. Peter MacKay & Gordon M. Phillips, 2002. "Is There an Optimal Industry Financial Structure?," NBER Working Papers 9032, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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