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Finite-Sample Properties of Some Alternative GMM Estimators
Open accessAbstract
We investigate the small-sample properties of three alternative generalized method of moments (GMM) estimators of asset-pricing models. The estimators that we consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion functions.
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Citations
Cited by
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Metadata
- Authors
- Hansen, L. P., Heaton, J., & Yaron, A.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1996-07
- Volume
- 14
- Issue
- 3
- Pages
- 262-280
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2089583970
- Cited by
- 1,274
- References
- 0
- FWCI
- 15.53
- Type
- journal article
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: Finite-Sample Properties of Some Alternative GMM Estimators. https://app.cochat.ai/papers/10.1080/07350015.1996.10524656
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- Hansen, L. P., Heaton, J., & Yaron, A. (1996). Finite-Sample Properties of Some Alternative GMM Estimators. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1996.10524656
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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