Sample sensitivity for two-step and continuous updating GMM estimators

Rikuto Onishi, Taisuke Otsu

研究成果: Article査読

1 被引用数 (Scopus)

抄録

This paper follows up the sensitivity analysis by Andrews, Gentzkow and Shapiro (2017) for biases in GMM estimators due to local violations of identifying assumptions, and proposes complementary bias measures that are sensitive to different choices of GMM weight matrices by considering a specific form of the local perturbation. Our method accommodates the two-step and continuous updating GMM estimators with or without centering. The proposed bias measures are illustrated by a consumption based asset pricing model using Japanese data.

本文言語English
論文番号109685
ジャーナルEconomics Letters
198
DOI
出版ステータスPublished - 2021 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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