Nonlinear models and small sample performance of the generalized method of moments

Eva Ventura

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: In this paper I explore the issue of nonlinearity (both in the data generation process and in the functional form that establishes the relationship between the parameters and the data) regarding the poor performance of the Generalized Method of Moments (GMM) in small samples. To this purpose I build a sequence of models starting with a simple linear model and enlarging it progressively until I approximate a standard (nonlinear) neoclassical growth model. I then use simulation techniques to find the small sample distribution of the GMM estimators in each of the models.

Keywords: GMM; small sample; simulation (search for similar items in EconPapers)
JEL-codes: C15 C51 C60 (search for similar items in EconPapers)
Date: 1996-09
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:186

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