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- W4313160541 abstract "ABSTRACT Context: empirical problems in which the researcher is faced with a model that is partially specified. In these cases, the GMM method is the natural alternative for estimating the parameters of interest. Objective: the goal of this paper is to offer a tutorial that allows the researcher to understand both the theory and empirical aspects of the GMM method. Methods: we discuss the GMM concepts, forms of estimation, and limitations associated with the method. As a way of illustrating the method, we use two applications in the area of empirical finance. The first application is the estimation of the parameters of a consumption-based asset pricing models; the second is the estimation of the parameters of the evolution of the interest rate in continuous time. The data and codes in R are provided as online appendices. Conclusion: the GMM method can be used in problems where other methods such as maximum likelihood are not feasible, or even when the researcher wants to estimate a model partially specified." @default.
- W4313160541 created "2023-01-06" @default.
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- W4313160541 date "2022-01-01" @default.
- W4313160541 modified "2023-10-18" @default.
- W4313160541 title "A Tutorial on the Generalized Method of Moments (GMM) in Finance" @default.
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- W4313160541 doi "https://doi.org/10.1590/1982-7849rac2022210287.en" @default.
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