A Note on the Small Sample Properties of Generalized Method of Moments Estimators under Non-Normal Error Conditions

• 羽森 茂之

抄録

This paper analyzes the small sample properties of generalized method of moments (GMM) estimators when error terms are not normally distributed. This paper shows that the properties of GMM estimators depend on the persistence of exogenous variables. If the persistence of the exogenous variables is relatively large, then the deviation from normal distribution in the error term does not cause serious problems.

収録刊行物

• Kobe University Economic Review

  Kobe University Economic Review 41 59-64, 1995

  神戸大学大学院経済学研究科

詳細情報

• CRID: 1390853649859683968
• NII論文ID: 110005859475
• NII書誌ID: AA00261065
• DOI: 10.24546/81000902
• HANDLE: 20.500.14094/81000902
• ISSN: 04541111
• 本文言語コード: en
• データソース種別:
  • JaLC
  • IRDB
  • CiNii Articles
• 抄録ライセンスフラグ: 使用可