Journal of Business & Economic Statistics articles from October 2002

Journal of Business & Economic Statistics archives from October 2002

Editors' introduction to JBES twentieth anniversary issue on the generalized method of moments.
October 1, 2002... It is 20 years since the publication in Econometrica of Lars Peter Hansen's article titled "Large Sample Properties of Generalized Method of Moments Estimators" (Hansen 1982). Without a doubt, this article has had a profound impact on the...

Interview with Lars Peter Hansen.(Interview)
October 1, 2002... 1. Eric Ghysels and Alastair Hall (Editors): How did you come to be interested in estimation based on moment conditions? Lars Peter Hansen (L.P.H.): As a graduate student at the University of Minnesota, I had the opportunity to take classes...

Interview with Christopher A. Sims.(Interview)
October 1, 2002... 1. Eric Ghysels and Alastair Hall (Editors): It is our understanding that you introduced the term "generalized method of moments" (GMM) in your graduate econometrics lecture course at the University of Minnesota. In this course, you use the GMM...

Sargan's instrumental variables estimation and the generalized method of moments.(J.D. Sargan)
October 1, 2002... This article surveys J. D. Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the...

Generalized method of moments and macroeconomics.
October 1, 2002... We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing...

Generalized method of moments: applications in finance.
October 1, 2002... We provide a brief overview of applications of generalized method of moments in finance. The models examined in the empirical finance literature, especially in the asset pricing area, often imply moment conditions that can be used in a straight...

Simulation-based method of moments and efficiency.
October 1, 2002... The method of moments is based on a relation [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII], from which an estimator of 0 is deduced. In many econometric models, the moment restrictions can not be evaluated numerically due to, for...

Generalized method of moments and empirical likelihood.
October 1, 2002... Generalized method of moments (GMM) estimation has become an important unifying framework for inference in econometrics in the last 20 years. It can be thought of as encompassing almost all of the common estimation methods, such as maximum...

Generalized method of moments, efficient bootstrapping, and improved inference.
October 1, 2002... Generalized method of moments (GMM) has been an important innovation in econometrics. Its usefulness has motivated a search for good inference procedures based on GMM. This article presents a novel method of bootstrapping for GMM based on...

A survey of weak instruments and weak identification in generalized method of moments.
October 1, 2002... 1. INTRODUCTION A subtle but important contribution of Hansen and Singleton's (1982) and Hansen's (1982) original work on generalized method of moments (GMM) estimation was to recast the requirements for instrument exogeneity. In the...

Generalized method of moments estimation when a parameter is on a boundary.
October 1, 2002... This article establishes the asymptotic distributions of generalized method of moments (GMM) estimators when the true parameter lies on the boundary of the parameter space. The conditions allow the estimator objective function to be nonsmooth...

Editors' report 2001.
October 1, 2002... 1. GENERAL REMARKS The editorial office of the Journal of Business and Economic Statistics moved to Chapel Hill, NC in January 2001. The transition from Michigan State University was smooth, thanks to the tremendous help of Jeff...