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- W2046575008 abstract "Generalized Methods of Moments (GMM) estimators are a popular tool in econometrics since introduced by Hansen (1982), because this approach provides feasible solutions for many problems present in economic data where least squares or maximum likelihood methods fail when naively applied. These problems may arise in errors-in-variable regression, estimation of labor demand curves, and asset pricing in finance, which are discussed here. In this paper we study a GMM estimator for the rank modeling approach (RMA), which analyzes the ordinal structure of a response variable. Assuming m-dependent data consistency and asymptotic normality of the proposed estimator are shown including the important case that the instruments depend on lagged regressors. Consistent estimators for the asymptotic covariance matrices are proposed. Further, the construction of minimum variance RMA-GMM estimators is discussed. Finite sample properties are studied by a small simulation study." @default.
- W2046575008 created "2016-06-24" @default.
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- W2046575008 date "2000-01-10" @default.
- W2046575008 modified "2023-09-23" @default.
- W2046575008 title "On Robust GMM Estimation with Applications in Economics and Finance" @default.
- W2046575008 hasPublicationYear "2000" @default.
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