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Citations for "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data"

by Tauchen, George

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  1. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  2. Craig Burnside & Martin Eichenbaum, 1994. "Small sample properties of generalized method of moments based Wald tests," Working Paper Series, Macroeconomic Issues 94-12, Federal Reserve Bank of Chicago.
  3. Gospodinov, Nikolay & Lkhagvasuren, Damba, 2011. "A new method for approximating vector autoregressive processes by finite-state Markov chains," MPRA Paper 33827, University Library of Munich, Germany.
  4. repec:zbw:iwhdps:10-08 is not listed on IDEAS
  5. Creel, Michael & Kristensen, Dennis, 2016. "On selection of statistics for approximate Bayesian computing (or the method of simulated moments)," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 99-114.
  6. Hamori, Shigeyuki, 1997. "Risk premiums and conditional covariances in tests of asset pricing models: Some evidence from Japan," Japan and the World Economy, Elsevier, vol. 9(3), pages 413-430, August.
  7. Galeotti, Marzio & Maccini, Louis J. & Schiantarelli, Fabio, 2005. "Inventories, employment and hours," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 575-600, April.
  8. Florens, C. & Jondeau, E. & Le Bihan, H., 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Working papers 83, Banque de France.
  9. George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
  10. Robert A. Amano & Tony S. Wirjanto, 1995. "An Empirical Investigation into Government Spending and Private Sector Behaviour," Macroeconomics 9502005, EconWPA.
  11. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
  12. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  13. repec:pit:wpaper:208 is not listed on IDEAS
  14. repec:hal:journl:peer-00815562 is not listed on IDEAS
  15. Ching-Sheng Mao, 1990. "Hypothesis testing and finite sample properties of generalized method of moments estimators: a Monte Carlo study," Working Paper 90-12, Federal Reserve Bank of Richmond.
  16. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10, Halle Institute for Economic Research.
  17. Giesen, Sebastian & Scheufele, Rolf, 2013. "Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models," IWH Discussion Papers 8/2013, Halle Institute for Economic Research (IWH).
  18. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  19. Issler, João Victor, 1999. "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  20. Peeters, Marga, 1998. "Persistence, asymmetries and interrelation in factor demand," MPRA Paper 23864, University Library of Munich, Germany.
  21. Gospodinov, Nikolay & Lkhagvasuren, Damba, 2013. "A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains," FRB Atlanta Working Paper 2013-05, Federal Reserve Bank of Atlanta.
  22. 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.
  23. Atsushi Inoue & Gary Solon, 2010. "Two-Sample Instrumental Variables Estimators," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 557-561, August.
  24. Christopher J. Neely, 1994. "A reconsideration of the properties of the generalized method moments in asset pricing models," Working Papers 1994-010, Federal Reserve Bank of St. Louis.
  25. Jalan, Jyotsna & Ravallion, Martin, 1998. "Are there dynamic gains from a poor-area development program?," Journal of Public Economics, Elsevier, vol. 67(1), pages 65-85, January.
  26. Viegas, Miguel & Ribeiro, Ana Paula, 2013. "Welfare-improving government behavior and inequality in a heterogeneous agents model," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 146-160.
  27. Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-27, July.
  28. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche 9126, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  29. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  30. Pozzi, Lorenzo, 2003. "The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems," Economic Modelling, Elsevier, vol. 20(5), pages 923-940, September.
  31. Ali Dib & Louis Phaneuf, 2005. "Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money," Staff Working Papers 05-30, Bank of Canada.
  32. Sebastian Giesen & R. Scheufele, 2013. "Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models," IWH Discussion Papers 8, Halle Institute for Economic Research.
  33. Pakos, Michal, 2011. "Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects are Present: The Role of Durable Goods," MPRA Paper 43534, University Library of Munich, Germany.
  34. Saikkonen, Pentti & Ripatti, Antti, 2000. "On the Estimation of Euler Equations in the Presence of a Potential Regime Shift," Manchester School, University of Manchester, vol. 68(0), pages 92-121, Supplemen.
  35. Luisanna Onnis & Patrizio Tirelli, 2011. "Institutions, policies and economic development. What are the causes of the shadow economy?," Working Papers 206, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
  36. Andrei SEMENOV, . "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
  37. Miguel Viegas & Ana Ribeiro, 2015. "Welfare and inequality effects of debt consolidation processes: the case of Spain, 1996–2007," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(4), pages 479-496, November.
  38. Patton, Andrew J. & Timmermann, Allan, 2010. "Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 803-820, October.
  39. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  40. Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
  41. Joachim Inkmann, 2000. "Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation," Econometric Society World Congress 2000 Contributed Papers 0332, Econometric Society.
  42. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
  43. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
  44. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  45. Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
  46. Garcia, R. & Bonomo, M., 1993. "Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles," Cahiers de recherche 9334, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  47. Robert S. Chirinko & Huntley Schaller, 1993. "Bubbles, fundamentals, and investment: a multiple equation testing strategy," Research Working Paper 93-03, Federal Reserve Bank of Kansas City.
  48. Ignacio García Pérez, J. & Osuna, Victoria, 2014. "Dual labour markets and the tenure distribution: Reducing severance pay or introducing a single contract," Labour Economics, Elsevier, vol. 29(C), pages 1-13.
  49. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Department of Economics, University of Leicester.
  50. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
  51. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
  52. Viegas, Miguel & Ribeiro, Ana Paula, 2013. "The Dutch experience: Assessing the welfare impacts of two consolidation strategies using a heterogeneous-agent framework," Economic Modelling, Elsevier, vol. 32(C), pages 351-360.
  53. Andrew J. Patton & Allan Timmermann, 2008. "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers 2008-54, Department of Economics and Business Economics, Aarhus University.
  54. Hatzinikolaou, Dimitris & Ahking, Francis, 1995. "Government Spending and Consumer Attitudes Toward Risk, Time Preference, and Intertemporal Substitution: An Econometric Analysis," MPRA Paper 46164, University Library of Munich, Germany.
  55. Raffaella Giacomini & Vasiliki Skreta & Javier Turen, 2015. "Models, Inattention and Expectation Updates," Discussion Papers 1602, Centre for Macroeconomics (CFM).
  56. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
  57. Christopher J. Neely, 1995. "Testing asset pricing models with Euler equations: it's worse than you think," Working Papers 1995-018, Federal Reserve Bank of St. Louis.
  58. Ghysels, E. & Hall, A., 1987. "Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I : Theory," Cahiers de recherche 8724, Universite de Montreal, Departement de sciences economiques.
  59. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  60. Hans Genberg & Laurent L. Pauwels, 2003. "An Open Economy New Keynesian Phillips Curve: Evidence from Hong Kong," IHEID Working Papers 03-2003, Economics Section, The Graduate Institute of International Studies.
  61. Ravenna, Federico & Walsh, Carl E., 2006. "Optimal monetary policy with the cost channel," Journal of Monetary Economics, Elsevier, vol. 53(2), pages 199-216, March.
  62. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
  63. Victoria Osuna & Jose-Ignacio García-Pérez, 2012. "The effects of introducing a single open-ended contract in Spain," EcoMod2012 3825, EcoMod.
  64. Hamori, Shigeyuki, 1998. "Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan," Economic Modelling, Elsevier, vol. 15(2), pages 217-235, April.
  65. Abdul Karim, Zulkefly, 2010. "Monetary policy and firms’ investment: Dynamic panel data evidence from Malaysia," MPRA Paper 23962, University Library of Munich, Germany, revised 15 May 2010.
  66. Allan W. Gregory & Jean-Francois Lamarche & Gregor W. Smith, 2001. "Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence," Working Papers 1249, Queen's University, Department of Economics.
  67. Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995. "Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
  68. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
  69. Victoria Osuna & J. García-Pérez, 2015. "On the Effectiveness of Short-time Work Schemes in Dual Labor Markets," De Economist, Springer, vol. 163(3), pages 323-351, September.
  70. James H. Stock & Jonathan Wright, 1996. "Asymptotics for GMM Estimators with Weak Instruments," NBER Technical Working Papers 0198, National Bureau of Economic Research, Inc.
  71. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  72. Kenneth D. West & David W. Wilcox, 1993. "Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model," Finance and Economics Discussion Series 93-29, Board of Governors of the Federal Reserve System (U.S.).
  73. Fedderke, Johannes & Klitgaard, Robert, 2013. "How Much Do Rights Matter?," World Development, Elsevier, vol. 51(C), pages 187-206.
  74. Hema Yoganarasimhan, 2012. "Impact of social network structure on content propagation: A study using YouTube data," Quantitative Marketing and Economics (QME), Springer, vol. 10(1), pages 111-150, March.
  75. Mehmet Caner, 2005. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases," Econometrics 0509016, EconWPA.
  76. Ana Paula Ribeiro & Miguel Viegas, 2011. "Welfare-improving Government Behaviour and Inequality-Inspection using a Heterogeneous-agents Model," EcoMod2011 3014, EcoMod.
  77. Öztekin, Özde & Flannery, Mark J., 2012. "Institutional determinants of capital structure adjustment speeds," Journal of Financial Economics, Elsevier, vol. 103(1), pages 88-112.
  78. Hideaki Tamura & Yoichi Matsubayashi, 2014. "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers 1422, Graduate School of Economics, Kobe University.
  79. 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;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
  80. Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
  81. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
  82. Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
  83. Tsun Se Cheong & Yanrui Wu, 2013. "Globalization and Regional Inequality," Economics Discussion / Working Papers 13-10, The University of Western Australia, Department of Economics.
  84. repec:zbw:iwhdps:8-13 is not listed on IDEAS
  85. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, vol. 88(1), pages 99-121, November.
  86. Bekaert, Geert & Gray, Stephen F., 1998. "Target zones and exchange rates:: An empirical investigation," Journal of International Economics, Elsevier, vol. 45(1), pages 1-35, June.
  87. Schündeln, Matthias & Playforth, John, 2014. "Private versus social returns to human capital: Education and economic growth in India," European Economic Review, Elsevier, vol. 66(C), pages 266-283.
  88. Andrei Semenov, 2004. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," Working Papers 2004_1, York University, Department of Economics.
  89. Miguel Viegas & Ana Ribeiro, 2014. "The Economic Adjustment Program for Portugal: assessing welfare impact in a heterogeneous-agent framework," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 13(1), pages 53-70, April.
  90. Nicholas Apergis, 2010. "Old Wine in a New Bottle: Are Financial Variables Omitted Variables in the Production Function?," Research in World Economy, Research in World Economy, Sciedu Press, vol. 1(1), pages 2-9, November.
  91. Gomes, Fábio Augusto Reis & Issler, João Victor, 2009. "Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?," Economics Working Papers (Ensaios Economicos da EPGE) 682, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  92. Michal Pakos, . "Measuring Intratemporal and Intertemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Consumer Durables," GSIA Working Papers 2007-E29, Carnegie Mellon University, Tepper School of Business.
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