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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26423
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| Title: | Using Samples of Unequal Length in Generalized Method of Moments Estimation |
| Authors: | Lynch, Anthony W.
Wachter, Jessica A. |
| Issue Date: | Oct-2004 |
| Series/Report no.: | FIN-05-021 |
| Abstract: | Many applications in financial economics use data series with different
starting or ending dates. This paper describes an estimation method,
based on the generalized method of moments (GMM), which makes use of all
available data for each moment condition. We introduce two
asymptotically equivalent estimators that are consistent, symptotically
normal, and more efficient asymptotically than standard GMM. We
illustrate these estimators in an application to mutual fund performance
evaluation. Both estimators are extended to general patterns of missing
data, and shown to be more efficient than estimators that ignore
intervals of the data, and thus more efficient than standard GMM. |
| URI: | http://hdl.handle.net/2451/26423 |
| Appears in Collections: | Finance Working Papers
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