Finite-Sample Properties of Some Alternative GMM Estimators
研究了资产定价模型中三种替代性广义矩方法估计量的小样本性质，特别关注基于GMM准则函数恶化进行推断的渐近理论表现。
Abstract We investigate the small-sample properties of three alternative generalized method of moments (GMM) estimators of asset-pricing models. The estimators that we consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion functions. KEY WORDS: Asset pricingGeneralized method of momentsMonte Carlo