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• W2017882191 abstract "We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of quarterly postwar U.S. data." @default.
• W2017882191 created "2016-06-24" @default.
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• W2017882191 date "1995-09-01" @default.
• W2017882191 modified "2023-10-15" @default.
• W2017882191 title "Small Sample Properties of GMM for Business Cycle Analysis" @default.
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• W2017882191 doi "https://doi.org/10.21034/sr.199" @default.
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