This paper studies inference about the values of the parameters in the threshold model in a generalized method of moments (GMM) framework. First, we establish that the extensively studied least squares method leads to substantially oversized tests and confidence intervals when the coeffi cient change is not large. Second, by re-ordering the data to recast the threshold model as a structural bre...

Hyperbolic absolute risk aversion (HARA) utility, (See is a more Carroll and Kimball, 1996), realistic alternative to the power utility used in consumption-based capital asset pricing models (CCAPM). We propose a new estimator for the HARA based on Godambe-Durbin “estimating functions” and small sigma asymptotics (SSA). This is an alternative to the generalized method of moments (GMM). Since th...

We propose the “generalized min-max” (GMM) kernel as a measure of data similarity, where data vectors can have both positive and negative entries. GMM is positive definite as there is an associate hashing method named “generalized consistent weighted sampling” (GCWS) which linearizes this (nonlinear) kernel. A natural competitor of GMM is the radial basis function (RBF) kernel, whose correspond...

This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in present study, definition is simply “rate change” observed prices different periods). Of particular interest impact coskewness and cokurtosis when modeling returns. We found that as augmentation factor highly significant should be considered The results obtained in a are consisten...

investment shows a combination of demand of firms and supply household savings and due to the volatile nature reflects short-term fluctuations in the economy of any country. this study examines the effect of abundance natural resources on private sector investment through the economic freedom and five main index (government's size, the structure of property rights, access to sound money, f...

entrepreneurship is one of the key requirements for economic development. so determinants of the development of entrepreneurial activities has always been of interest to researchers. economic freedom and reducing the size of government is to foster entrepreneurship as substrates. the main objective of this paper is to examine the impact of economic freedom on the development of entrepreneurial ...

This research inquiry analyzed the association between corporate governance and firm performance through mediating role of financial leverage based on panel data 2568 firms during period from 2002 to 2017. The study uses a two-step dynamic as well generalized method moments (GMM) estimate these relationships. findings demonstrated mediates relationship in context developed economies, also emerg...

This study analyzes the influence of operating capital on a firm’s profitability in manufacturing sector China. The investigates that develops non-linear relationship with firm by using ordinary least square (OLS), fixed effect (FE), and generalized method moments (GMM) regression. research reveals positive financially less-constrained firms significantly negatively influences profitability. Co...

The current research study investigates the impact of ownership structure, and board composition on earnings management for a sample 200 Pakistan Stock Exchange (PSX) listed non-financial firms. An index structure is created using Principal Component Analysis (PCA). Earnings Management calculated Real approach. investigated generalized method moments (GMM). findings indicate that an increase in...

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With latent variables.