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Finite-Sample Properties of Some Alternative GMM Estimators

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  • Hansen, Lars Peter
  • Heaton, John
  • Yaron, Amir

Abstract

The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they 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.

Suggested Citation

  • Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
  • Handle: RePEc:bes:jnlbes:v:14:y:1996:i:3:p:262-80
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