Relevant bibliographies by topics / Generalized Method of Moments (GMM)

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Generalized Method of Moments (GMM)'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 June 2024

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Journal articles on the topic "Generalized Method of Moments (GMM)"

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Wooldridge, Jeffrey M. "Applications of Generalized Method of Moments Estimation." Journal of Economic Perspectives 15, no. 4 (November 1, 2001): 87–100. http://dx.doi.org/10.1257/jep.15.4.87.

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I describe how the method of moments approach to estimation, including the more recent generalized method of moments (GMM) theory, can be applied to problems using cross section, time series, and panel data. Method of moments estimators can be attractive because in many circumstances they are robust to failures of auxiliary distributional assumptions that are not needed to identify key parameters. I conclude that while sophisticated GMM estimators are indispensable for complicated estimation problems, it seems unlikely that GMM will provide convincing improvements over ordinary least squares and two-stage least squares--by far the most common method of moments estimators used in econometrics--in settings faced most often by empirical researchers.
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Abdal, Nurul Mukhlisah, Wahyudin Nur, and Ainun Mawaddah Abdal. "Penaksiran Generalized Method of Moments dengan Penggunaan Metode Marquardt-Levenberg." Indonesian Journal of Fundamental Sciences 6, no. 1 (June 6, 2020): 37. http://dx.doi.org/10.26858/ijfs.v6i1.13943.

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Generalized Method of Moments is a method for estimating parameters using sample moments. GMM is used by the researcher particularly in economics to determine econometrical models which their distribution function is hardly known. Not only for economics, but GMM also is useful for agriculture, transportation, health care, etc. Research methodology for this article is review of literature. This article describes the combination of GMM and Marquardt-Levenberg algorithm along with the example of its use
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Hahn, Jinyong. "A Note on Bootstrapping Generalized Method of Moments Estimators." Econometric Theory 12, no. 1 (March 1996): 187–97. http://dx.doi.org/10.1017/s0266466600006496.

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Recently, Arcones and Giné (1992, pp. 13–47, in R. LePage & L. Billard [eds.], Exploring the Limits of Bootstrap, New York: Wiley) established that the bootstrap distribution of the M-estimator converges weakly to the limit distribution of the estimator in probability. In contrast, Brown and Newey (1992, Bootstrapping for GMM, Seminar note) discovered that the bootstrap distribution of the GMM overidentification test statistic does not converge weakly to the x2 distribution. In this paper, it is shown that the bootstrap distribution of the GMM estimator converges weakly to the limit distribution of the estimator in probability. Asymptotic coverage probabilities of the confidence intervals based on the bootstrap percentile method are thus equal to their nominal coverage probability.
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Zhang, Luwen, and Li Wang. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model." Journal of Risk and Financial Management 16, no. 8 (August 16, 2023): 377. http://dx.doi.org/10.3390/jrfm16080377.

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The purpose of this paper is to study the generalized method of moments (GMM) estimation procedures of the realized stochastic volatility model; we give the moment conditions for this model and then obtain the estimation of parameters. Then, we apply these moment conditions to the realized stochastic volatility model to improve the volatility prediction effect. This paper selects the Shanghai Composite Index (SSE) as the original data of model research and completes the volatility prediction under a realized stochastic volatility model. Markov chain Monte Carlo (MCMC) estimation and quasi-maximum likelihood (QML) estimation are applied to the parameter estimation of the realized stochastic volatility model to compare with the GMM method. And the volatility prediction accuracy of these three different methods is compared. The results of empirical research show that the effect of model prediction using the parameters obtained by the GMM method is close to that of the MCMC method, and the effect is obviously better than that of the quasi-maximum likelihood estimation method.
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Hu, Yi, Xiaohua Xia, Ying Deng, and Dongmei Guo. "Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models." Discrete Dynamics in Nature and Society 2014 (2014): 1–8. http://dx.doi.org/10.1155/2014/324904.

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Generalized method of moments (GMM) has been widely applied for estimation of nonlinear models in economics and finance. Although generalized method of moments has good asymptotic properties under fairly moderate regularity conditions, its finite sample performance is not very well. In order to improve the finite sample performance of generalized method of moments estimators, this paper studies higher-order mean squared error of two-step efficient generalized method of moments estimators for nonlinear models. Specially, we consider a general nonlinear regression model with endogeneity and derive the higher-order asymptotic mean square error for two-step efficient generalized method of moments estimator for this model using iterative techniques and higher-order asymptotic theories. Our theoretical results allow the number of moments to grow with sample size, and are suitable for general moment restriction models, which contains conditional moment restriction models as special cases. The higher-order mean square error can be used to compare different estimators and to construct the selection criteria for improving estimator’s finite sample performance.
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Standsyah, Rahmawati Erma, Bambang Widjanarko Otok, and Agus Suharsono. "Fixed Effect Meta-Analytic Structural Equation Modeling (MASEM) Estimation Using Generalized Method of Moments (GMM)." Symmetry 13, no. 12 (November 29, 2021): 2273. http://dx.doi.org/10.3390/sym13122273.

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The fixed effect meta-analytic structural equation modeling (MASEM) model assumes that the population effect is homogeneous across studies. It was first developed analytically using Generalized Least Squares (GLS) and computationally using Weighted Least Square (WLS) methods. The MASEM fixed effect was not estimated analytically using the estimation method based on moment. One of the classic estimation methods based on moment is the Generalized Method of Moments (GMM), whereas GMM can possibly estimate the data whose studies has parameter uncertainty problems, it also has a high accuracy on data heterogeneity. Therefore, this study estimates the fixed effect MASEM model using GMM. The symmetry of this research is based on the proof goodness of the estimator and the performance that it is analytical and numerical. The estimation results were proven to be the goodness of the estimator, unbiased and consistent. To show the performance of the obtained estimator, a comparison was carried out on the same data as the MASEM using GLS. The results show that the estimation of MASEM using GMM yields the SE value in each coefficient is smaller than the estimation of MASEM using GLS. Interactive GMM for the determination of the optimal weight on GMM in this study gave better results and therefore needs to be developed in order to obtain a Random Model MASEM estimator using GMM that is much more reliable and accurate in performance.
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Carrasco, Marine, and Jean-Pierre Florens. "ON THE ASYMPTOTIC EFFICIENCY OF GMM." Econometric Theory 30, no. 2 (October 23, 2013): 372–406. http://dx.doi.org/10.1017/s0266466613000340.

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The efficiency of the generalized method of moment (GMM) estimator is addressed by using a characterization of its variance as an inner product in a reproducing kernel Hilbert space. We show that the GMM estimator is asymptotically as efficient as the maximum likelihood estimator if and only if the true score belongs to the closure of the linear space spanned by the moment conditions. This result generalizes former ones to autocorrelated moments and possibly infinite number of moment restrictions. Second, we derive the semiparametric efficiency bound when the observations are known to be Markov and satisfy a conditional moment restriction. We show that it coincides with the asymptotic variance of the optimal GMM estimator, thus extending results by Chamberlain (1987,Journal of Econometrics34, 305–33) to a dynamic setting. Moreover, this bound is attainable using a continuum of moment conditions.
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Hansen, Bruce E., and Seojeong Lee. "Inference for Iterated GMM Under Misspecification." Econometrica 89, no. 3 (2021): 1419–47. http://dx.doi.org/10.3982/ecta16274.

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This paper develops inference methods for the iterated overidentified Generalized Method of Moments (GMM) estimator. We provide conditions for the existence of the iterated estimator and an asymptotic distribution theory, which allows for mild misspecification. Moment misspecification causes bias in conventional GMM variance estimators, which can lead to severely oversized hypothesis tests. We show how to consistently estimate the correct asymptotic variance matrix. Our simulation results show that our methods are properly sized under both correct specification and mild to moderate misspecification. We illustrate the method with an application to the model of Acemoglu, Johnson, Robinson, and Yared (2008).
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Lynch, Anthony W., and Jessica A. Wachter. "Using Samples of Unequal Length in Generalized Method of Moments Estimation." Journal of Financial and Quantitative Analysis 48, no. 1 (February 2013): 277–307. http://dx.doi.org/10.1017/s0022109013000070.

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AbstractThis paper describes estimation methods, based on the generalized method of moments (GMM), applicable in settings where time series have different starting or ending dates. We introduce two estimators that are more efficient asymptotically than standard GMM. We apply these to estimating predictive regressions in international data and show that the use of the full sample affects inference for assets with data available over the full period as well as for assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones.
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Erickson, Timothy, and Toni M. Whited. "TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS." Econometric Theory 18, no. 3 (May 15, 2002): 776–99. http://dx.doi.org/10.1017/s0266466602183101.

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We consider a multiple mismeasured regressor errors-in-variables model where the measurement and equation errors are independent and have moments of every order but otherwise are arbitrarily distributed. We present parsimonious two-step generalized method of moments (GMM) estimators that exploit overidentifying information contained in the high-order moments of residuals obtained by “partialling out” perfectly measured regressors. Using high-order moments requires that the GMM covariance matrices be adjusted to account for the use of estimated residuals instead of true residuals defined by population projections. This adjustment is also needed to determine the optimal GMM estimator. The estimators perform well in Monte Carlo simulations and in some cases minimize mean absolute error by using moments up to seventh order. We also determine the distributions for functions that depend on both a GMM estimate and a statistic not jointly estimated with the GMM estimate.
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Dissertations / Theses on the topic "Generalized Method of Moments (GMM)"

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Koci, Eni. "The stochastic discount factor and the generalized method of moments." Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/873.

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"The fundamental theorem of asset pricing in finance states that the price of any asset is its expected discounted payoff. Ideally, the payoff is discounted by a factor, which depends on parameters present in the market, and it should be unique, in the sense that financial derivatives should be able to be priced using the same discount factor. In theory, risk neutral valuation implies the existence of a positive random variable, which is called the stochastic discount factor and is used to discount the payoffs of any asset. Apart from asset pricing another use of stochastic discount factor is to evaluate the performance of the of hedge fund managers. Among many methods used to evaluate the stochastic discount factor, generalized method of moments has become very popular. In this paper we will see how generalized method of moments is used to evaluate the stochastic discount factor on linear models and the calculation of stochastic discount factor using generalized method of moments for the popular model in finance CAPM. "
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Augustine-Ohwo, Odaro. "Estimating break points in linear models : a GMM approach." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/estimating-break-points-in-linear-models-a-gmm-approach(804d83e3-dad8-4cda-b1e1-fbfce7ef41b8).html.

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In estimating econometric time series models, it is assumed that the parameters remain constant over the period examined. This assumption may not always be valid when using data which span an extended period, as the underlying relationships between the variables in these models are exposed to various exogenous shifts. It is therefore imperative to examine the stability of models as failure to identify any changes could result in wrong predictions or inappropriate policy recommendations. This research proposes a method of estimating the location of break points in linear econometric models with endogenous regressors, estimated using Generalised Method of Moments (GMM). The proposed estimation method is based on Wald, Lagrange Multiplier and Difference type test statistics of parameter variation. In this study, the equation which sets out the relationship between the endogenous regressor and the instruments is referred to as the Jacobian Equation (JE). The thesis is presented along two main categories: Stable JE and Unstable JE. Under the Stable JE, models with a single and multiple breaks in the Structural Equation (SE) are examined. The break fraction estimators obtained are shown to be consistent for the true break fraction in the model. Additionally, using the fixed break approach, their $T$-convergence rates are established. Monte Carlo simulations which support the asymptotic properties are presented. Two main types of Unstable JE models are considered: a model with a single break only in the JE and another with a break in both the JE and SE. The asymptotic properties of the estimators obtained from these models are intractable under the fixed break approach, hence the thesis provides essential steps towards establishing the properties using the shrinking breaks approach. Nonetheless, a series of Monte Carlo simulations conducted provide strong support for the consistency of the break fraction estimators under the Unstable JE. A combined procedure for testing and estimating significant break points is detailed in the thesis. This method yields a consistent estimator of the true number of breaks in the model, as well as their locations. Lastly, an empirical application of the proposed methodology is presented using the New Keynesian Phillips Curve (NKPC) model for U.S. data. A previous study has found this NKPC model is unstable, having two endogenous regressors with Unstable JE. Using the combined testing and estimation approach, similar break points were estimated at 1975:2 and 1981:1. Therefore, using the GMM estimation approach proposed in this study, the presence of a Stable or Unstable JE does not affect estimations of breaks in the SE. A researcher can focus directly on estimating potential break points in the SE without having to pre-estimate the breaks in the JE, as is currently performed using Two Stage Least Squares.
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Gajic, Ruzica, and Isabelle Söder. "Arbetslöshetsförsäkringens finansiering : Hur påverkas arbetslöshetskassornas medlemsantal av en förhöjd grad av avgiftsfinansiering?" Thesis, Uppsala University, Department of Economics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-126711.

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Sedan årsskiftet 2006/2007 har antalet medlemmar i arbetslöshetskassorna minskat drastiskt. Under samma period har ett flertal reformer genomförts på arbetslöshetsförsäkringens område som bland annat resulterat i höjda medlemsavgifter för de flesta a-kassorna. Syftet med denna uppsats är att undersöka huruvida det över tid går att finna något samband mellan förändringar i medlemsantal och medlemsavgifter. För att undersöka detta måste man förutom avgifterna även ta hänsyn till andra variabler kopplade till arbetslöshetsförsäkringen. Dessa övriga variabler är grundbelopp, högsta dagpenning, ersättningsgrad och arbetslöshet. Vi formulerar en modell för sambandet mellan medlemsantal och dessa variabler och skattar denna genom metoden Generalized Method of Moments med hjälp av data från 2000-2009. Våra resultat visar i enlighet med teori och tidigare forskning på ett negativt samband mellan medlemsavgifter och antalet medlemmar i a-kassan. Detta samband visar sig vara starkt, särskilt på lång sikt. För att tydigare se hur avgiftsförändringar påverkar olika typer av individer i olika grad har vi även undersökt huruvida medlemsantalet i a-kassor kopplade till tjänstemanna- respektive arbetarförbund är olika känsliga för förändringar i avgiften. Våra resultat visar i kontrast till tidigare studier att a-kassorna kopplade till tjänstemannaförbunden (TCO och Saco) är mer känsliga för förändringar jämfört med arbetarförbunden (LO). Detta skapar anledning att tro att det finns andra faktorer än avgifter och de övriga variablerna som inkluderats i vår modell vilka påverkar anslutningsgraden och som kan förklara skillnaden mellan de olika grupperna.

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Tan, David Tatwei Banking &amp Finance Australian School of Business UNSW. "Corporate governance and firm outcomes: causation or spurious correlation?" Awarded By:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43371.

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The rapid growth of financial markets and the increasing diffusion of corporate ownership have placed tremendous emphasis on the effectiveness of corporate governance in resolving agency conflicts within the firm. This study investigates the corporate governance and firm performance/failure relation by implementing various econometric modelling methods to disaggregate causal relations and spurious correlations. Using a panel dataset of Australian firms, a comprehensive suite of corporate governance mechanisms are considered; including the ownership, remuneration, and board structures of the firm. Initial ordinary least squares (OLS) and fixed-effects panel specifications report significant causal relations between various corporate governance measures and firm outcomes. However, the dynamic generalised method of moments (GMM) results indicate that no causal relations exist when taking into account the effects of simultaneity, dynamic endogeneity, and unobservable heterogeneity. Moreover, these results remain robust when accounting for the firm??s propensity for fraud. The findings support the equilibrium theory of corporate governance and the firm, suggesting that a firm??s corporate governance structure is an endogenous characteristic determined by other firm factors; and that any observed relations between governance and firm outcomes are spurious in nature. Chapter 2 examines the corporate governance and firm performance relation. Using a comprehensive suite of corporate governance measures, this chapter finds no evidence of a causal relation between corporate governance and firm performance when accounting for the biases introduced by simultaneity, dynamic endogeneity, and unobservable heterogeneity. This result is consistent across all firm performance measures. Chapter 3 explores the corporate governance and likelihood of firm failure relation by implementing the Merton (1974) model of firm-valuation. Similarly, no significant causal relations between a firm??s corporate governance structure and its likelihood of failure are detected when accounting for the influence of endogeneity on the parameter estimates. Chapter 4 re-examines the corporate governance and firm performance/failure relation within the context of corporate fraud. Using KPMG and ASIC fraud databases, the corporate governance and firm outcome relations are estimated whilst accounting for the firms?? vulnerability to corporate fraud. This chapter finds no evidence of a causal relation between corporate governance and firm outcomes when conditioning on a firm??s propensity for fraud.
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Lima, André Fernandes. "Estudo da relação causal entre os níveis organizacionais de folga, o risco e o desempenho financeiro de empresas manufatureiras." Universidade Presbiteriana Mackenzie, 2009. http://tede.mackenzie.br/jspui/handle/tede/848.

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Made available in DSpace on 2016-03-15T19:31:17Z (GMT). No. of bitstreams: 1 Andre Fernandes Lima.pdf: 717720 bytes, checksum: e1002c943e6cd65b97220bcb149117a4 (MD5) Previous issue date: 2009-02-04
Fundo Mackenzie de Pesquisa
This dissertation aims to investigate the existence of a causal relationship between levels of organizational slack, the risk of the company and its performance. The point of departure is the conjecture that the magnitude of the organizational slack is a determinant factor of the risk as well as the performance of the company. The importance of this piece of research lies on the empirical fact that owners of a company are willing to take risks based on the prospect of returns. In order to test the causal relationship, it proceeds as follows. First, it collects data from 218 manufacturing companies in the period 2001-2007 and combines part of it through factor analysis so as to compose the three types of organizational slack: available, recoverable and potential ones. Second, the data is arranged in the form of a panel and is next assessed by the generalized method of moments (GMM). The results support the validity of the two proposed models: the first takes risk as the dependent variable, while the second takes future performance. The findings corroborate the hypothesis that the organizational slack has a nonlinear influence on risk and performance. In addition, they shed light on the increased robustness of the second model relative to the first one. This is regarded as the second contribution of the dissertation provided that most literature emphasizes the influence of the organizational slack over risk neglecting its role in performance. We go on to claim that the little attention paid to performance contributes to the available inconclusive empirical results within the literature.
O objetivo do trabalho é investigar a existência de uma relação causal entre os níveis organizacionais de folga, o risco da empresa e seu desempenho. O ponto de partida é a conjectura de que a magnitude da folga organizacional é fator determinante do risco representado pela empresa, bem como de seu desempenho. A importância desta pesquisa recai sobre o fato empírico de que os proprietários da empresa estão dispostos a se expor a riscos com base na perspectiva de retorno. Para testar esta relação causal são considerados dados de 218 empresas manufatureiras no período 2001-2007, sendo parte destes dados agrupados através de análise fatorial, de forma a compor os três tipos de folga organizacional considerados: disponível, recuperável e potencial. Em seguida, os dados são dispostos na forma de painel e, então, analisados através do método dos momentos generalizados (GMM), o que constitui uma contribuição original. Os resultados obtidos suportam a validade de dois modelos propostos, o primeiro em que o risco é variável dependente, e o segundo em que a variável dependente é o desempenho futuro, corroborando a hipótese de que a folga organizacional exerce influência não linear sobre o risco e o desempenho. Adicionalmente, verifica-se que o modelo de desempenho futuro é mais robusto, sendo esta a segunda contribuição da pesquisa. Isso decorre do fato de que grande parte da literatura enfatiza a influência da folga organizacional sobre o risco, negligenciando sua significância sobre o desempenho. Argumenta-se aqui que tais práticas implicaram em resultados empíricos não conclusivos na literatura.
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Asad, Humaira. "Effective financial development, inequality and poverty." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/3583.

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This thesis addresses the question, whether the impact of financial development on the relative and absolute indicators of poverty is dependent on the levels of the human capital present in an economy. To answer this question, first we develop a theoretical framework to explain the growth process in the context of financial development assuming that human capital is heterogeneous in terms of the skills and education people have. Then, by using the data sets based on five-year averages over 1960-2010 and 1980-2010, covering 107 developed and developing countries, we empirically investigate the extensions of the theoretical framework developed earlier. These extensions cover the relationships between: 1. Income inequality and economic growth 2. Financial development, human capital and income inequality, and 3. Financial development, human capital and poverty We provide empirical evidence using modern panel data techniques of dynamic and static GMM. The findings elucidate that income inequality and economic growth are inter-dependent on each other. There exists an inverse relationship between initial inequality and economic growth. The changes in income inequality follow the pattern identified by Kuznets (1955) known as Kuznets’ hypothesis. The results also show that financial development helps in reducing income inequalities and in alleviating poverty, only when there is a sufficient level of human capital available. On the basis of our findings we develop the term "effective financial development" which means that financial development is effective in accelerating growth levels, reducing income inequalities and alleviating poverty only if there is a sufficient level of human capital available. The empirical study covers multiple aspects of financial development like private credit extended by banks and other financial institutions, liquid liabilities and stock market capitalization. The results of the empirical investigations are robust to multiple data sets and various indicators of income inequality, financial development, poverty and human capital. The study also provides marginal analysis, which helps in understanding the impact of financial development on inequality and poverty at different levels of human capital. This research study of effective financial development can be a useful learning paradigm for the academics and researchers interested in growth economics and keen to learn how poverty and income inequality can be reduced effectively. This study can also be useful for the policy makers in the financial institutions, because it provides robust empirical evidence that shows that financial development cannot help in alleviating poverty and in reducing inequalities unless there is a sufficient level of human capital available. The findings can be useful for policy makers, particularly in the developing countries where high levels of income inequalities and poverty are big problems. This study explains the mechanism of how effective financial development can be used to reduce income inequalities and to alleviate poverty. It also explains the process of inter-linkages between financial development, human capital, inequality, economic growth and financial instability. The policy makers can also take advantage from the marginal analyses that illustrate the minimum levels of private credit and primary and secondary schooling above which the effects of financial development and human capital become significant in reducing inequalities and poverty.
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Ruzibuka, John S. "The impact of fiscal deficits on economic growth in developing countries : Empirical evidence and policy implications." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/16282.

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This study examines the impact of fiscal deficits on economic growth in developing countries. Based on deduction from the relevant theoretical and empirical literature, the study tests the following hypotheses regarding the impact of fiscal deficits on economic growth. First, fiscal deficits have significant positive or negative impact on economic growth in developing countries. Second, the impact of fiscal deficits on economic growth depends on the size of deficits as a percentage of GDP – that is, there is a non-linear relationship between fiscal deficits and economic growth. Third, the impact of fiscal deficits on economic growth depends on the ways in which deficits are financed. Fourth, the impact of fiscal deficits on economic growth depends on what deficit financing is used for. The study also examines whether there are any significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries. The study uses panel data for thirty-one developing countries covering the period 1972- 2001, which is analysed based on the econometric estimation of a dynamic growth model using the Arellano and Bond (1991) generalised method of moments (GMM) technique. Overall, the results suggest the following. First, fiscal deficits per se have no any significant positive or negative impact on economic growth. Second, by contrast, when the deficit is substituted by domestic and foreign financing, we find that both domestic and foreign financing of fiscal deficits exerts a negative and statistically significant impact on economic growth with a lag. Third, we find that both categories of economic classification of government expenditure, namely, capital and current expenditure, have no significant impact on economic growth. When government expenditure is disaggregated on the basis of a functional classification, the results suggest that spending on education, defence and economic services have positive but insignificant impact on growth, while spending on health and general public services have positive and significant impact. Fourth, in terms of regional differences with regard to the estimated relationships, the study finds that, while there are some regional differences between the four different regions represented in our sample of thirty-one developing countries - namely, Asia and the Pacific, Latin America and the Caribbean, Middle East and North Africa, and Sub-Saharan Africa – these differences are not statistically significant. On the basis of these findings, the study concludes that fiscal deficits per se are not necessarily good or bad for economic growth in developing countries; how the deficits are financed and what they are used for matters. In addition, the study concludes that there are no statistically significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries.
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Ruzibuka, John Shofel. "The impact of fiscal deficits on economic growth in developing countries : empirical evidence and policy implications." Thesis, University of Bradford, 2012. http://hdl.handle.net/10454/16282.

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This study examines the impact of fiscal deficits on economic growth in developing countries. Based on deduction from the relevant theoretical and empirical literature, the study tests the following hypotheses regarding the impact of fiscal deficits on economic growth. First, fiscal deficits have significant positive or negative impact on economic growth in developing countries. Second, the impact of fiscal deficits on economic growth depends on the size of deficits as a percentage of GDP - that is, there is a non-linear relationship between fiscal deficits and economic growth. Third, the impact of fiscal deficits on economic growth depends on the ways in which deficits are financed. Fourth, the impact of fiscal deficits on economic growth depends on what deficit financing is used for. The study also examines whether there are any significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries. The study uses panel data for thirty-one developing countries covering the period 1972- 2001, which is analysed based on the econometric estimation of a dynamic growth model using the Arellano and Bond (1991) generalised method of moments (GMM) technique. Overall, the results suggest the following. First, fiscal deficits per se have no any significant positive or negative impact on economic growth. Second, by contrast, when the deficit is substituted by domestic and foreign financing, we find that both domestic and foreign financing of fiscal deficits exerts a negative and statistically significant impact on economic growth with a lag. Third, we find that both categories of economic classification of government expenditure, namely, capital and current expenditure, have no significant impact on economic growth. When government expenditure is disaggregated on the basis of a functional classification, the results suggest that spending on education, defence and economic services have positive but insignificant impact on growth, while spending on health and general public services have positive and significant impact. Fourth, in terms of regional differences with regard to the estimated relationships, the study finds that, while there are some regional differences between the four different regions represented in our sample of thirty-one developing countries - namely, Asia and the Pacific, Latin America and the Caribbean, Middle East and North Africa, and Sub-Saharan Africa - these differences are not statistically significant. On the basis of these findings, the study concludes that fiscal deficits per se are not necessarily good or bad for economic growth in developing countries; how the deficits are financed and what they are used for matters. In addition, the study concludes that there are no statistically significant regional differences in terms of the relationship between fiscal deficits and economic growth in developing countries.
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Alsaraireh, Ahmad. "Firm's value, financing constraints and dividend policy in relation to firm's political connections." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15824.

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The relationship between politicians and firms has attracted a considerable amount of research, especially in developing countries, where firms' political links are a widespread phenomenon. However, existing literature offers contradicting views about this relationship, espicially regarding the impact of firms' political connections on firms' market-performance. Furthermore, there is limited evidence on the impact of firms' political connections on some of the important corporate decisions, including firms' investment- and dividend-policies. Therefore, this thesis seeks to fill these gaps by offering three empirical essays with Jordan as a case study. The first essay examines the impact of firms' political links on their values by controlling for macroeconomic conditions. Also, in the extended models, by specifying three major events which occurred after 2008, namely, the establishment of the Anti-Corruption Commission (ACC), the Global Financial Crisis, and the Arab Uprisings, we investigate the effects of these events on the relationship between firms' political ties and their value. The findings of this essay indicate that politically-connected firms have higher values compared to their non-connected counterparts in Jordan. Moreover, it is found that firms with stronger political-ties have higher values than firms with weaker ties. Furthermore, the positive effect of political connections continues, even after controlling for the macroeconomic conditions, though the latter are considered to be more important than political connections for firm valuation due to their impact on the share price. Interestingly, findings show that the events occurring after 2008 do not seem to have affected the relationship between political connections and firm value since the significant positive impact of political-ties on firm value persists during the post-event period. The second empirical essay studies the role of political connections in mitigating firms' financing-constraints. Moreover, it investigates the effect of the strength of political connections in alleviating these constraints. Finally, it looks at the impact of the above-mentioned three events which occurred after 2008, notwithstanding the new banking Corporate Governance Code issued in 2007. Findings of this essay reveal that firms' political connections are important in mitigating their financing-constraints. Furthermore, the results show that stronger political connections seem to reduce financing-constraints more than weaker connections. Finally, findings show that the impact of firms' political connections has diminished during the post-event period (2008 - 2014). The third essay examines how a firm's political connections can affect its dividend-policy. It also considers the impact of the strength of political connections on dividend-policy. Finally, we extend the empirical analysis by investigating any shift in the relationship between political connections and dividends due to the events of the Global Financial Crisis, the Arab Uprisings, and the adoption of the International Financial Reporting Standards (IFRS). Results of this essay reveal that a firm's political connections have a significant positive impact on both the propensity to pay dividends and the dividend-payout ratio. Regarding the impact of the strength of political connections on dividends, it is found that firms with weaker political connections pay out more in dividends than firms with stronger connections. In terms of the impact of the events which occurred after 2008 on the relationship between political connections and dividends, the findings show that the impact of these connections on dividends is eliminated.
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Forrester, Andrew C. "Equity Returns and Economic Shocks: A Survey of Macroeconomic Factors and the Co-movement of Asset Returns." Miami University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=miami1512128483719638.

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Books on the topic "Generalized Method of Moments (GMM)"

1

Generalized method of moments. Oxford: Oxford University Press, 2005.

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László, Mátyás, ed. Generalized method of moments estimation. Cambridge [England]: Cambridge University Press, 1999.

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NANDE-VÁZQUEZ, Edgard Alfredo, Teodoro REYES-FONG, and Omar Alejandro PÉREZ-CRUZ. The Generalized Least Squares Method (GMM) as a tool for causal analysis of spending, budget management and electoral results. ECORFAN, 2021. http://dx.doi.org/10.35429/b.2021.8.1.130.

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In the different fields of science, many times, there is a need to estimate the associations between variables, as an approach to understanding the interaction of one as a function of the others. It is usually done by applying restrictive models, such as analysis of variance and linear regression. This type of analysis requires that the dependent variable be continuous, have a normal and constant distribution of the mean and variance. However, when the dependent variable is discrete or categorical, the linear model is not viable. Faced with this impediment, the theory of linear models arises and is expanded to broader categories, which have been called Generalized Linear Models. This category assumes that all distribution functions are exponential, in which the normal distribution is located. In this sense, in this research, Generalized Least Squares methods were applied in their various variants: of moments, ordinary and feasible. These models allow calculating the parameters of models in which the dependent variable has a Poisson or multinomial distribution. In such a way that the Generalized Least Squares serve as a tool to analyze the effect of the elections on public spending and its relationship with the electoral results, analyzing the variables of a budgetary nature, derived from the possibility that the government in power continues or is re-elected. For this, data related to the states and municipalities of México in the period 2007 to 2019 are used.
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Hall, Alastair R. Generalized Method of Moments. Oxford University Press, Incorporated, 2004.

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Matyas, Laszlo, ed. Generalized Method of Moments Estimation. Cambridge University Press, 1999. http://dx.doi.org/10.1017/cbo9780511625848.

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Matyas, Laszlo. Generalized Method of Moments Estimation. Cambridge University Press, 2010.

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Matyas, Laszlo. Generalized Method of Moments Estimation. Cambridge University Press, 2011.

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Hall, Alastair R. Generalized Method of Moments: Advanced Texts in Econometrics. Oxford University Press, 2005.

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Golan, Amos. Info-Metrics and Statistical Inference. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780199349524.003.0013.

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In this chapter I concentrate on continuous inferential problems: problems where the dependent variable is continuous, such as classical regression problems. As in the previous chapter, using duality theory, I show that the info-metrics framework is general enough to include the class of information-theoretic methods as a special case. The formulation is developed for the classical regression problem, but the results apply to many other problems. A detailed discussion of the benefits and costs of using the info-metrics framework is provided and contrasted with other approaches. I use theoretical examples and policy-relevant applications to demonstrate the method. The common problem of misspecification is also discussed and studied within the info-metrics framework. I show that a misspecified model and a correctly specified one can yield similar answers. The appendices provide detailed discussions of the generalized method of moments and the Bayesian method of moments. Both are connected to info-metrics.
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Karakoç, Ekrem. Cross-National Test of the Theory. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198826927.003.0003.

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The previous chapter posed the primary research question and offered a new theory that encompassed two interrelated arguments. This chapter produces three hypotheses derived from the new theory offered in Chapter 2. Chapter 3 tests these arguments in a large-N study using multivariate statistical analysis. The first section discusses the operationalization of our main dependent and independent variables. It will also briefly outline a set of control variables and what the literature predicts regarding their effect on spending and inequality. These factors range from economic factors (globalization, inflation, female labor participation, economic development), political factors (partisanship, electoral systems, election cycle), and demographic factors. To correct for problems associated with the nature of panel data models, such as endogeneity, heteroskedasticity, and autocorrelation, it uses the Arellano-Bond estimation, which uses the Generalized Method of Moments. The rest of the chapter presents the results and offers its interpretation and conclusion.
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Book chapters on the topic "Generalized Method of Moments (GMM)"

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Wansbeek, Tom J. "Generalized Method of Moments." In International Series in Quantitative Marketing, 453–91. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-53469-5_15.

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Qin, Jing. "Generalized Method of Moments." In Biased Sampling, Over-identified Parameter Problems and Beyond, 129–38. Singapore: Springer Singapore, 2017. http://dx.doi.org/10.1007/978-981-10-4856-2_7.

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Gaspard, J. P., and Ph Lambin. "On a Generalized-Moments Method." In Springer Series in Solid-State Sciences, 72–83. Berlin, Heidelberg: Springer Berlin Heidelberg, 1987. http://dx.doi.org/10.1007/978-3-642-82444-9_7.

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Hansen, Lars Peter. "Generalized Method of Moments Estimation." In The New Palgrave Dictionary of Economics, 5201–11. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_2486.

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Hansen, Lars Peter. "Generalized Method of Moments Estimation." In The New Palgrave Dictionary of Economics, 1–10. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/978-1-349-95121-5_2486-1.

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Hansen, Lars Peter. "Generalized Method of Moments Estimation." In The New Palgrave Dictionary of Economics, 1–10. London: Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-349-95121-5_2486-2.

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Hansen, Lars Peter. "Generalized method of moments estimation." In Macroeconometrics and Time Series Analysis, 105–18. London: Palgrave Macmillan UK, 2010. http://dx.doi.org/10.1057/9780230280830_13.

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Lee, Myoung-jae. "Nonlinear Models and Generalized Method of Moments." In Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models, 99–121. New York, NY: Springer New York, 1996. http://dx.doi.org/10.1007/978-1-4757-2550-6_6.

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Wilson, Jeffrey R., and Kent A. Lorenz. "Generalized Method of Moments Logistic Regression Model." In ICSA Book Series in Statistics, 131–46. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-23805-0_7.

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de Aguiar, Alexandre Street, and João Marco Braga da Cunha. "Estimating Artificial Neural Networks with Generalized Method Moments." In Advances in Computational Intelligence, 391–99. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-19222-2_33.

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Conference papers on the topic "Generalized Method of Moments (GMM)"

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Mosalaosi, M., and T. J. O. Afullo. "Parameter estimation for linear regression models in powerline communication systems noise using Generalized Method of Moments (GMM)." In 2016 Progress in Electromagnetic Research Symposium (PIERS). IEEE, 2016. http://dx.doi.org/10.1109/piers.2016.7735775.

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Agarwal, Ayushi, Sreejith Alathur, and Rahul Lakhmani. "Influence of ICT governance on cyber security: a Generalized Method Moment (GMM) approach in Asia." In ICEGOV 2023: 16th International Conference on Theory and Practice of Electronic Governance. New York, NY, USA: ACM, 2023. http://dx.doi.org/10.1145/3614321.3614328.

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Šeligová, Markéta. "The Impact of Funding Sources on Corporate Liquidity in Energy Sector in the Czech Republic." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.116.

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The aim of this paper is to determine the impact of funding sources on liquidity of companies in energy sector in the Czech Republic. With the purpose to fulfill the aim, we examine existence and character of relationship between selected financial factors (debt equity ratio, share of capital for consideration to total assets, return on equity, share of fixed assets to total assets, share of earnings before interest and taxes to total assets, equity ratio) and liquidity of the companies in energy sector in the Czech Republic. The existence of relationship between financial factors and liquidity of companies is tested by correlation analysis and generalized method of moments called GMM method. It is expected a positive relationship between liquidity and funding sources in energy sectors in the Czech Republic. Companies with high liquidity are more credible and less risky clients for creditors and can obtain the necessary financial support under more favorable and cheaper terms.
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Kök, Recep, Özlem Dündar, and Ramazan Ekinci. "A Kuznets Adaptive Approach to Life Curves: An Application on Selected Asian Countries." In International Conference on Eurasian Economies. Eurasian Economists Association, 2018. http://dx.doi.org/10.36880/c10.02129.

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When the historical process is evaluated, it is known that the increase in welfare level of each country increases the average life of human life. However, it is important to test the environmental Kuznets hypothesis when economies are related in terms of the intensity of industrial development and the type of energy used. The main objective of this study is to determine the relationship between the Kuznets curves and the life curves based on the Kuznets curve approach and to analyze the impact of urbanization and health expenditures on the average lifetime. A sample of Asian countries selected as reference to the study was created and analytical findings covering for the period 2005-2014 annual data were obtained using the Generalized Method of Moments (GMM). The mentioned data base of Asian countries consists of Turkey Statistical Institute and the World Bank statistical indicators. The results of these search are of the nature to contribute to the policy development of the country's governments and are in line with the theoretical expectations.
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Ahmed Elsepaey Elsemary, Dr Mona. "EVALUATION FOR THE RELATIONSHIP BETWEEN RENEWABLE ENERGY USE AND ECONOMIC GROWTH IN EMERGING ECONOMIES FOR DEVELOPING OIL COUNTRIES." In IV. International research Scientific Congress of Humanities and Social Sciences. Rimar Academy, 2023. http://dx.doi.org/10.47832/ist.con4-1.

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The Study aims to assess the relationship between the use of renewable energy and economic growth in the economies of emerging oil-developing countries, with a focus on the group of Arab Gulf countries, which represents the Gulf Cooperation Council, which is one of the largest producers of hydrocarbons, as its production represents about a third of the global production of oil and about 20% of the reserves global natural gas. The paper attempts to study the link between alternative energy sources and economic growth rates in the Arab Gulf region. The study is based on the hypothesis that there is a significant positive relationship between economic growth and renewable energy in the Arab Gulf countries, and that the transition to the use of renewable energy will have A significant impact on the economic growth rates in the region. The study has used an advanced standard methodology to analyses the relationship between economic growth and renewable energy in six countries, by using The Generalized Method of Moments (GMM). By this method, the paper attempts to determine the impact of the use of renewable energy on economic growth in the Arab Gulf countries.
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Afifah, Dyah Laillyzatul, Swasono Rahardjo, Vita Kusumasari, Purwanto, Toto Nusantara, Nur Atikah, and Nadia Kholifia. "Spatial durbin error model (SDEM) panel data simultaneous equation analysis using generalized method of moment (GMM) for GRDP and unemployment in East Java." In THE 3RD INTERNATIONAL CONFERENCE ON MATHEMATICS AND ITS APPLICATIONS (ICOMATHAPP) 2022: The Latest Trends and Opportunities of Research on Mathematics and Mathematics Education. AIP Publishing, 2024. http://dx.doi.org/10.1063/5.0194399.

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Nikoloski, Dimitar. "The Role of Efficiency Wages in Determining the Inter-Industry Wage Differentials: Evidence from North Macedonia." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2023. http://dx.doi.org/10.47063/ebtsf.2023.0027.

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The efficiency wage theory states that the workers’ productivity depends on their wages, thus firms find beneficial to pay higher than the market clearing wages by expecting an increase in labour productivity. Hence, this alterative approach to orthodox economic theory assumes a reversed causality established between wages and labour productivity. The efficiency wage models take into account the potential influence of institutional arrangements. For instance, the ICT industry characteristics such as possibility for platform work affect wage levels and contribute to paying wage premium (exposure to the global competition). The evolution of real wages in North Macedonia over the last decade shows an outstanding inter-industry wage differentials, where Information and communication; and Finance and insurance appear as sectors with constantly high average real wages compared to the national average level. In order to explore the possible reversed causation between labour productivity and real wages, we estimate a homogeneous panel vector autoregression (VAR) model by fitting a multivariate panel regression of each dependent variable on lags of itself and on lags of other dependent variables using generalized method of moments (GMM). The results confirm the efficiency wage theory assumption since we found statistically significant impact of real wages on labour productivity and not vice-versa. This conclusion opens a wide room for justifying the policies that favour increases of real wages by tying them to increases in productivity. The identified wage premium, particularly from working in the ICT sector, suggests that the policy need to focus on stimulating widespread adoption of digital technologies across other sectors through education and training.
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Kamenjarska, Tanja, and Igor Ivanovski. "IMPACT OF BOARD CHARACTERISTICS ON FIRM PERFORMANCE: DYNAMIC PANEL EVIDENCE OF THE INSURANCE INDUSTRY IN THE REPUBLIC OF NORTH MACEDONIA." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2020. http://dx.doi.org/10.47063/ebtsf.2020.0027.

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Corporate governance is a crucial mechanism for the organizations’ actions to maintain market successful adequate and targeted policies and long-term strategies that ensure the maximization of shareholders’ benefits. The board of directors is appointed by organizations’ shareholders and its main role is to be responsible and accountable and to ensure enforcement of the top management acts concerning the fulfillment of the shareholder’s interests. For this to be achieved, it is important for the board to be efficient, effective, and focused on protecting the organization and shareholder’s interests. Good corporate governance and more specifically, board characteristics play a central role in companies’ management, coordination, and control mechanisms. The paper analyses various theoretical and empirical findings regarding the prominence of various board characteristics within companies and particularly evaluates the impact of board characteristics on the financial performance of listed companies in the insurance industry in the Republic of North Macedonia. The financial ratio ROA is used as a proxy and as a variable for firm performance while the board experience, CEO duality, board size, board composition, and gender diversity are set to be as independent variables. Based on the variables related to board characteristics, hypotheses are developed and their impact upon firm performance is examined with the use of Generalized Methods of Moments (GMM), a pairwise correlation matrix, as well as with multicollinearity VIF test. In that direction, this paper aims to determine the level of effectiveness of current governance mechanisms and based on the results, propose measures and actions for successfully handling agency costs while maximizing governance capability and performance in the insurance sector in the Republic of North Macedonia.
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Alanzi, Eman, Nada Kulen, and Thu Huong Nguyen. "MODELLING FACTORS AFFECTING RELIGIOUS TOURISM FLOWS TO SAUDI ARABIA." In GLOBAL TOURISM CONFERENCE 2021. PENERBIT UMT, 2021. http://dx.doi.org/10.46754/gtc.2021.11.024.

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Religious tourism demand is one of the major contributors to Saudi Arabia economy and considered to play an important role in the “Vision 2030”, which seeks to diversify Saudi Arabia’s economy reliance on oil revenues. As the country has undergone structural changes in international tourism and removed travel restrictions in the past few years, there is a need to identify the determinant factors that influence international tourists to plan and manage their trips. Therefore, this current study aims to investigate the effects of economic and noneconomic factors on international tourist flows by using A panel data gravity model for the period 2000-2019. The empirical evidence is based on the Generalized Method of Moments (GMM) and the Panel Regression technique. The findings of the regression show that the traditional gravity variables are important to explain Saudi Arabia’s religious tourism demand. The study also has found that habit persistence, the Pandemic Index, GDP per capita of Saudi and the original countries, human rights and investments in the tourist sector have a significant and positive impact on religious tourism demand. While political risks, transport costs, and tourism price have a statistically significant and negative effect on religious tourists’ arrivals. This study will contribute largely to the tourism demand literature by introducing country characteristics factors which include human rights issues as security proxies, pandemics, and quality of life and by measuring the impact of these variables in tourism demand in the context of an oil-based economy that under the transition to a diversified economy with a new vision. The findings of this study may assist in the development of Saudi Arabia’s tourism sector and economic development by providing knowledge to policymakers, investors, and other tourism stakeholders.
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Nair, N. V., and B. Shanker. "Implementation of Generalized Method of Moments." In 2009 IEEE Antennas and Propagation Society International Symposium (APSURSI). IEEE, 2009. http://dx.doi.org/10.1109/aps.2009.5171540.

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Reports on the topic "Generalized Method of Moments (GMM)"

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Gallant, Ron, Raffaella Giacomini, and Giuseppe Ragusa. Generalized method of moments with latent variables. Institute for Fiscal Studies, October 2013. http://dx.doi.org/10.1920/wp.cem.2013.5013.

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Wilhelm, Daniel. Optimal bandwidth selection for robust generalized method of moments estimation. Cemmap, March 2014. http://dx.doi.org/10.1920/wp.cem.2014.1514.

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Burnside, Craig, and Martin Eichenbaum. Small Sample Properties of Generalized Method of Moments Based Wald Tests. Cambridge, MA: National Bureau of Economic Research, May 1994. http://dx.doi.org/10.3386/t0155.

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Lynch, Anthony, and Jessica Wachter. Using Samples of Unequal Length in Generalized Method of Moments Estimation. Cambridge, MA: National Bureau of Economic Research, October 2008. http://dx.doi.org/10.3386/w14411.

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Neely, Christopher J. A Reconsideration of the Properties of the Generalized Method of Moments in Asset Pricing Models. Federal Reserve Bank of St. Louis, 1994. http://dx.doi.org/10.20955/wp.1994.010.

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Optimally-transported generalized method of moments. Cemmap, October 2022. http://dx.doi.org/10.47004/wp.cem.2022.1722.

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