Using Samples of Unequal Length in Generalized Method of Moments Estimation

63 Pages Posted: 3 Nov 2008

See all articles by Anthony W. Lynch

Anthony W. Lynch

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Jessica A. Wachter

University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: October 2004

Abstract

Many applications in financial economics use data series with different starting or ending dates. This paper describes an estimation method, based on the generalized method of moments (GMM), which makes use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, symptotically normal, and more efficient asymptoticallythan standard GMM. We illustrate these estimators in an application to mutual fund performance evaluation. Both estimators are extended to general patterns of missing data, and shown to be more efficient than estimators that ignore intervals of the data, and thus more efficient than standardGMM.

Suggested Citation

Lynch, Anthony W. and Wachter, Jessica A., Using Samples of Unequal Length in Generalized Method of Moments Estimation (October 2004). NYU Working Paper No. FIN-05-021, Available at SSRN: https://ssrn.com/abstract=1294157

Anthony W. Lynch (Contact Author)

New York University (NYU) - Department of Finance ( email )

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Jessica A. Wachter

University of Pennsylvania - Finance Department ( email )

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National Bureau of Economic Research (NBER)

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