Sample sensitivity for two-step and continuous updating GMM estimators

Rikuto Onishi; Taisuke Otsu

doi:10.1016/j.econlet.2020.109685

Sample sensitivity for two-step and continuous updating GMM estimators

Rikuto Onishi, Taisuke Otsu

Keio Economic Observatory(KEO)

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Article number	109685
Journal	Economics Letters
Volume	198
DOIs	https://doi.org/10.1016/j.econlet.2020.109685
Publication status	Published - 2021 Jan

Keywords

Generalized method of moments
Misspecification
Sensitivity analysis

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2020.109685

Cite this

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abstract = "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.",

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author = "Rikuto Onishi and Taisuke Otsu",

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Sample sensitivity for two-step and continuous updating GMM estimators

Abstract

Keywords

ASJC Scopus subject areas

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