Using Samples of Unequal Length in Generalized Method of Moments Estimation

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.