Nonlinear models and small sample performance of the generalized method of moments

Ventura, Eva

Home
→
Recerca: working papers, preprints, informes, etc.
→
Departament d'Economia i Empresa
→
Economics and Business Working Papers Series
→
View Item

dc.contributor.author	Ventura, Eva
dc.contributor.other	Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned	2017-07-26T10:50:32Z
dc.date.available	2017-07-26T10:50:32Z
dc.date.issued	1996-09-01
dc.identifier	https://econ-papers.upf.edu/ca/paper.php?id=186
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.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	Economics and Business Working Papers Series; 186
dc.rights	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title	Nonlinear models and small sample performance of the generalized method of moments
dc.type	info:eu-repo/semantics/workingPaper
dc.date.modified	2017-07-23T02:02:43Z
dc.subject.keyword	gmm
dc.subject.keyword	small sample
dc.subject.keyword	simulation
dc.subject.keyword	Macroeconomics and International Economics
dc.rights.accessRights	info:eu-repo/semantics/openAccess