The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data
Open accessAbstract
The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the number of lags used to form instruments; with short lags, the estimates of utility function parameters are nearly asymptotically optimal, but with longer lags the estimates concentrate around biased values and confidence intervals become misleading, (b) The test of the overidentifying restrictions performs well in small samples; if anything, the test is biased toward acceptance of the null hypothesis.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Cited by
(2001) · RePEc: Research Papers in Economics · Cited by 27,577
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Institutional determinants of capital structure adjustment speeds
Öztekin, Ö., & Flannery, M. J. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.08.014 · Cited by 616
Government Spending, Corruption and Economic Growth
d’Agostino, G., Dunne, J. P., & Pieroni, L. (2016) · World Development · doi:10.1016/j.worlddev.2016.03.011 · Cited by 373
Metadata
- Authors
- Tauchen, G.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1986-10
- Volume
- 4
- Issue
- 4
- Pages
- 397-416
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W1990789699
- Cited by
- 304
- References
- 1
- FWCI
- 9.09
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data. https://app.cochat.ai/papers/10.1080/07350015.1986.10509537
- The paper
- Tauchen, G. (1986). Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1986.10509537
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
