One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993), and Qin and Lawless (1994). These papers emphasized methods that correspond to using ...
This paper proposes a generalized method of moments (GMM) shrinkage method to efficiently estimate the unknown parameters θo identified by some moment restrictions, when there is another set of ...
This paper examines the empirical relationship between the movement of the slope factor in term structure of nominal interest rates and exogenous monetary-policy shocks in the U.S. after 1982. Using ...
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