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Using Samples of Unequal Length in Generalized Method of Moments Estimation

  • Lynch, Anthony W.
  • Wachter, Jessica A.

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, asymptotically normal, and more efficient asymptotically than standard GMM. We apply these methods to estimating predictive regressions in international data and show that the use of the full sample affects point estimates and standard errors for both assets with data available for the full period and assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones.

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Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 48 (2013)
Issue (Month): 01 (February)
Pages: 277-307

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Handle: RePEc:cup:jfinqa:v:48:y:2013:i:01:p:277-307_00
Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
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