| Item Type |
Article |
| ID |
|
| Preview |
| Image |
|
| Caption |
|
|
| Full text |
AA10715861-00000155-0001.pdf
| Type |
:application/pdf |
Download
|
| Size |
:575.9 KB
|
| Last updated |
:Oct 16, 2023 |
| Downloads |
: 388 |
Total downloads since Oct 16, 2023 : 388
|
|
| Release Date |
|
| Title |
| Title |
Sample sensitivity for two-step and continuous updating GMM estimators
|
| Kana |
|
| Romanization |
|
|
| Other Title |
|
| Creator |
| Name |
Onishi, Rikuto
|
| Kana |
|
| Romanization |
|
| Affiliation |
慶應義塾大学経済学部
|
| Affiliation (Translated) |
Faculty of Economics, Keio University
|
| Role |
|
| Link |
|
| Name |
大津, 泰介
 |
| Kana |
オオツ, タイスケ
|
| Romanization |
Ōtsu, Taisuke
|
| Affiliation |
Department of Economics, London School of Economics; 慶應義塾大学産業研究所
|
| Affiliation (Translated) |
Keio Economic Observatory
|
| Role |
|
| Link |
|
|
| Edition |
|
| Place |
|
| Publisher |
| Name |
Keio Economic Observatory Sangyo Kenkyujo
|
| Kana |
|
| Romanization |
|
|
| Date |
| Issued (from:yyyy) |
2020
|
| Issued (to:yyyy) |
|
| Created (yyyy-mm-dd) |
|
| Updated (yyyy-mm-dd) |
|
| Captured (yyyy-mm-dd) |
|
|
| Physical description |
|
| Source Title |
| Name |
KEO discussion paper
|
| Name (Translated) |
|
| Volume |
|
| Issue |
155
|
| Year |
2020
|
| Month |
11
|
| Start page |
|
| End page |
|
|
| ISSN |
|
| ISBN |
|
| DOI |
|
| URI |
|
| JaLCDOI |
|
| NII Article ID |
|
| Ichushi ID |
|
| Other ID |
|
| Doctoral dissertation |
| Dissertation Number |
|
| Date of granted |
|
| Degree name |
|
| Degree grantor |
|
|
| 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.
|
|
| Table of contents |
|
| Keyword |
|
| NDC |
|
| Note |
|
| Language |
|
| Type of resource |
|
| Genre |
|
| Text version |
|
| Related DOI |
|
| Access conditions |
|
| Last modified date |
|
| Creation date |
|
| Registerd by |
|
| History |
| Dec 15, 2020 | | インデックス を変更 |
| Dec 15, 2020 | | Creator Link,Creator Name,Creator Kana,Edition 版,Place 場所,Publisher Name,Publisher Kana を変更 |
| Oct 16, 2023 | | JaLCDOI を変更 |
|
|
| Index |
| / Public / Keio Economic Observatory(KEO) / KEO discussion paper / 101-102, 104-108, 110-119, 121-144, 147-149, 152, 155-156, 158-162, 164-168, 170, 173, 175, 177-178 |
|
|
|
| Related to |
|
