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A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Persistent link: https://www.econbiz.de/10001537510

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...

Persistent link: https://www.econbiz.de/10011537937

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...

Persistent link: https://www.econbiz.de/10003808637

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

Persistent link: https://www.econbiz.de/10009736650

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

Persistent link: https://www.econbiz.de/10003510803

Testing the Null of Identification in GMM

Wright, Jonathan H. - 2003

This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified. The test can detect local or global underidentification, and underidentification in some or all directions. The idea of the test is to compare the volume of two confidence sets - one...

Persistent link: https://www.econbiz.de/10014112591

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

Generalized Method of Trimmed Moments

Cizek, Pavel - 2009

High breakdown-point regression estimators protect against large errors and data contamination. We adapt and generalize the concept of trimming used by many of these robust estimators so that it can be employed in the context of the generalized method of moments. The proposed generalized method...

Persistent link: https://www.econbiz.de/10012718043

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - 2004

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum, average and exponential functionals derived from robust GMM estimators with bounded influence function. We study the theoretical local robustness properties of the new tests and show...

Persistent link: https://www.econbiz.de/10014072451