Generalized Methods of Moments
Applications in Finance
Bibliographic Data
| ID | 19418708 |
|---|---|
| Authors | Ravi Jagannathan (Northwestern University), Georgios Skoulakis (0000-0002-5156-1890, Northwestern University), Zhenyu Wang (0000-0003-0036-8000, Northwestern University) |
| Year | 2002 |
| Volume | 20 |
| Issue | 4 |
| Pages | 470-481 |
| Publication date | 2002-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618612 |
| OpenAlex | W2079415868 |
| Language | EN |
| Citations received | 3 |
| References cited | 61 |
We provide a brief overview of applications of generalized method of moments in finance. The models examined in the empirical finance literature, especially in the asset pricing area, often imply moment conditions that can be used in a straight forward way to estimate the model parameters without making strong assumptions regarding the stochastic properties of variables observed by the econometrician. Typically the number of moment conditions available to the econometrician would exceed the number of model parameters. This gives rise to overidentifying restrictions that can be used to test the validity of the model specifications. These advantages have led to the widespread use of the generalized method of moments in the empirical finance literature
Capital asset pricing model · Econometrics · Economics · Empirical research · Generalized method of moments · Panel data · Statistics · Computer Science · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Stochastic processes and financial applications
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
The arbitrage theory of capital asset pricing
Tests for Parameter Instability and Structural Change With Unknown Change Point
Hypothesis Testing with Efficient Method of Moments Estimation
Theory of Rational Option Pricing
Generalized reduced rank tests using the singular value decomposition
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Large Sample Properties of Generalized Method of Moments Estimators
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
By Force of Habit
A Cross-Sectional Test of an Investment-Based Asset Pricing Model
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
Habit Formation
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
| Unique citing works | 3 |
|---|---|
| Citations per year | 0,15 |
| Citation span | 2006 - 2023 (18) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |