A reconsideration of the properties of the generalized method moments in asset pricing models

Christopher Neely

No 1994-010, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper tests the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) on simulated data from a consumption based asset pricing model. In finite samples the estimates of the coefficient of relative risk aversion and the discount parameter are strongly biased due to the unusual shape of the GMM criterion function for the model and the GMM test statistics perform poorly. In fact, the finite sample properties of the test statistics suggest the rejection results achieved by applying GMM to representative agent asset pricing models with real data (Hansen and Singleton 1982) must be viewed with some circumspection. Revised Version - 1995-018

Keywords: Prices; Statistics (search for similar items in EconPapers)
Date: 1994
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://research.stlouisfed.org/wp/more/1994-010/ (application/pdf)
http://research.stlouisfed.org/wp/1994/94-010.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:1994-010

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().