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Full-Text Articles in Economics
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Cowles Foundation Discussion Papers
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for …
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Cowles Foundation Discussion Papers
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for …
Dynamics Of Tobin’S Q And Us Stock Performance, Matiur Rahman, Muhammad Mustafa
Dynamics Of Tobin’S Q And Us Stock Performance, Matiur Rahman, Muhammad Mustafa
International Review of Business and Economics
To study the dynamic effects of changes in Tobin’Q on stock prices of selected 249 US public companies of different industry categories. Panel unit roots tests and cointegration tests are implemented. Next, DOLS and GMM models are estimated. Annual data for the 2004-2012 period are used for the above selected US companies. Panel unit root tests provide somewhat mixed evidence of non-stationarity of both variables. There is clear evidence of cointegration between the above variables. The negative coefficient of the error-correction term shows convergence toward long-run equilibrium, though at slow pace. The estimates also reveal shortrun net positive interactive feedback …