Nonlinear Models and Small Sample Performance of the Generalized Method of Moments

Català | Castellano

dc.contributor.author	Ventura, Eva
dc.contributor.other	Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned	2012-07-11T02:07:44Z
dc.date.available	2012-07-11T02:07:44Z
dc.date.issued	2005-09-15T23:06:53Z
dc.identifier.uri	http://hdl.handle.net/10230/839
dc.description.abstract	In this paper I explore the issue of nonlinearity (both in the data generation process and in the functional form that establishes the relationship between the parameters and the data) regarding the poor performance of the Generalized Method of Moments (GMM) in small samples. To this purpose I build a sequence of models starting with a simple linear model and enlarging it progressively until I approximate a standard (nonlinear) neoclassical growth model. I then use simulation techniques to find the small sample distribution of the GMM estimators in each of the models.
dc.language.iso	eng
dc.rights.uri	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
dc.subject.other	GMM, small sample, simulation
dc.title	Nonlinear Models and Small Sample Performance of the Generalized Method of Moments
dc.type	info:eu-repo/semantics/workingPaper
dc.date.modified	2012-07-10T07:27:17Z