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Die verallgemeinerte Momentenmethode: Darstellung und Anwendung

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  • Becker, Ralf
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    Abstract

    In dieser Arbeit wird die Schätzmethode der Verallgemeinerten Momente (Generalized Method of Moments - GMM) vorgestellt. Neben der formalen Darstellung wird besonderes Augenmerk auf die notwendige Schätzung der Gewichtungsmatrix und auf Testmethoden im Rahmen der GMM gelegt. Anhand einer Schätzung des stochastischen Prozesses des kurzfristigen Zinssatzes wird die Anwendung der GMM verdeutlicht. -- This paper presents the Generalized Method of Moments (GMM) as a technique of parameter estimation. Besides the general framework emphasis is put on the estimation of the weighting matrix and testing methods. The application of the GMM is illustrated by means of parameter estimation of the stochastic short term interest rate process.

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    Bibliographic Info

    Paper provided by Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie in its series Arbeitspapiere des Instituts für Statistik und Ökonometrie with number 16.

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    Date of creation: 1998
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    Handle: RePEc:zbw:maista:16

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    1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    3. repec:att:wimass:9220 is not listed on IDEAS
    4. Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, . "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
    5. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    6. Hansen, Lars Peter, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 418-21, October.
    7. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
    8. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
    9. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
    10. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 423-25, October.
    11. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
    12. Delong, David M, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 417-18, October.
    13. Andrews, Donald W K & Fair, Ray C, 1988. "Inference in Nonlinear Econometric Models with Structural Change," Review of Economic Studies, Wiley Blackwell, vol. 55(4), pages 615-39, October.
    14. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
    15. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
    16. Rossi, Peter E, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 421-22, October.
    17. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201, September.
    18. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
    19. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
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