Publisher Summary This chapter explains Hansen's (1982) generalized method of moments
(GMM) to applied researchers, and to give practical guidance as to how GMM estimation …

Weak instruments arise when the instruments in linear instrumental variables (IV) regression
are weakly correlated with the included endogenous variables. In generalized method of …

Publisher Summary This chapter reviews the main asset-pricing theories in finance and
discusses combining the models by using a simple, unifying framework. The models are …

We investigate the small-sample properties of three alternative generalized method of
moments (GMM) estimators of asset-pricing models. The estimators that we consider include …

Generalized method of moments (GMM) was first introduced into the econometrics literature
by Lars Hansen in 1982. Since then, GMM has had considerable impact on the theory and …

The last twenty years have witnessed tremendous advances in the mathematical, statistical,
and computational tools available to applied macroeconomists. This rapidly evolving field …

We employ a certainty-equivalence framework to analyze the cost, value and
pay/performance sensitivity of non-tradable options held by undiversified, risk-averse …

This paper develops asymptotic distribution theory for GMM estimators and test statistics
when some or all of the parameters are weakly identified. General results are obtained and …

OVER THE LAST one hundred years, the average real return to stocks in the United States
has been about six percent per year higher than that on Treasury bills. At the same time, the …

The paper provides a survey of the work that has been done in financial econometrics in the
past decade. It proceeds by first establishing a set of stylized facts that are characteristics of …