This paper analyzes the higher order asymptotic properties of Generalized Method of Moments (GMM) estimators for linear time series models using many lags as instruments. A data dependent moment selection method based on minimizing the approximate mean squared error is developed. In addition, a new version of the GMM estimator based on kernel weighted moment conditions is proposed. It is shown ...

The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to th...

this paper presents the results of a study on the radiation characteristics of a plasma triangular antenna in the vhf band (30-300mhz) applying the method of moment. deriving the current distribution of the antenna, it shows the relationship between radiation characteristics of the plasma antenna and the plasma parameters. both theoretical and numerical results indicate that if the plasma frequ...

This paper essentially extends the generalized spectral estimation of Berkowitz (2001) to provide a consistent generalized spectral estimator (GSE), considering all the information available, possibly with in…nite dimensions, based upon Escanciano (2006). Our estimator can entertain the strengths of the Berkowitz-GSE over the standard GMM. In contrast, more importantly, the newly proposed estim...

In this paper, we re-examine the empirical relevance of the cost channel of monetary policy. We employ recently developed moment-conditions inference procedures, which provide a more e¢ cient and reliable econometric framework than in previous literature. Using US data, our results suggest that there is no substantial evidence for the existence of a cost channel. Keywords: Cost channel; Phillip...

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna andWalsh, 2006), employing recently developed moment-conditions inference methods, including identi…cation-robust procedures. Using US data, our results suggest that the cost channel e¤ect is poorly identi…ed and we are thus unable to corroborate the previous results in the literature. Keywords: Cost chan...

1 This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data model...

We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by standard stratified sampling and the maintained assumption is that the aggregate shares are known.

â â â  â â â â â â â â â â â  financial sector is one of the most influential sectors in economic activities. empirical and theoretical studies conducted in recent years have also confirmed the significant role of financial institutions in economic growth. additionally, trade and financial liberalization policies have been particular concerned with strategic policies in developed and developing...