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Sample sensitivity for two-step and continuous updating GMM estimators

Onishi, Rikuto and Otsu, Taisuke (2021) Sample sensitivity for two-step and continuous updating GMM estimators. Economics Letters, 198. ISSN 0165-1765

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Identification Number: 10.1016/j.econlet.2020.109685

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.

Item Type: Article
Official URL: https://www.sciencedirect.com/journal/economics-le...
Additional Information: © 2020 Elsevier B.V.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 27 Nov 2020 11:24
Last Modified: 20 Sep 2021 03:19
URI: http://eprints.lse.ac.uk/id/eprint/107522

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