Journal articles: 'Generalized Method of Moments (GMM)'

1

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

2

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.

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

3

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

4

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

5

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

6

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

7

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

8

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.

Full text

Abstract:

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).

APA, Harvard, Vancouver, ISO, and other styles

9

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

10

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

11

Gallant, A. Ronald, and George Tauchen. "Which Moments to Match?" Econometric Theory 12, no. 4 (October 1996): 657–81. http://dx.doi.org/10.1017/s0266466600006976.

Full text

Abstract:

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.

APA, Harvard, Vancouver, ISO, and other styles

12

Bera, Anil K., Gabriel Montes-Rojas, and Walter Sosa-Escudero. "GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS." Econometric Theory 26, no. 6 (March 22, 2010): 1838–45. http://dx.doi.org/10.1017/s0266466609990818.

Full text

Abstract:

A well known result is that many of the tests used in econometrics, such as the Rao score (RS) test, may not be robust to misspecified alternatives, that is, when the alternative model does not correspond to the underlying data generating process. Under this scenario, these tests spuriously reject the null hypothesis too often. We generalize this result to generalized method of moments–based (GMM-based) tests. We also extend the method proposed in Bera and Yoon (1993, Econometric Theory 9, 649–658) for constructing RS tests that are robust to local misspecification to GMM-based tests. Finally, a further generalization for general estimating and testing functions is developed. This framework encompasses both likelihood and GMM-based results.

APA, Harvard, Vancouver, ISO, and other styles

13

Baum, Christopher F., Mark E. Schaffer, and Steven Stillman. "Instrumental Variables and GMM: Estimation and Testing." Stata Journal: Promoting communications on statistics and Stata 3, no. 1 (March 2003): 1–31. http://dx.doi.org/10.1177/1536867x0300300101.

Full text

Abstract:

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity, overidentification, and endogeneity in the IV context are also described.

APA, Harvard, Vancouver, ISO, and other styles

14

Andrews, Donald W. K., and Xu Cheng. "GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE." Econometric Theory 30, no. 2 (November 29, 2013): 287–333. http://dx.doi.org/10.1017/s0266466613000315.

Full text

Abstract:

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The asymptotic sizes (in a uniform sense) of standard GMM tests and CSs are established.The paper also establishes the correct asymptotic sizes of “robust” GMM-based Wald,t, and quasi-likelihood ratio tests and CSs whose critical values are designed to yield robustness to identification problems.The results of the paper are applied to a nonlinear regression model with endogeneity and a probit model with endogeneity and possibly weak instrumental variables.

APA, Harvard, Vancouver, ISO, and other styles

15

Armstrong, Timothy B., and Michal Kolesár. "Sensitivity analysis using approximate moment condition models." Quantitative Economics 12, no. 1 (2021): 77–108. http://dx.doi.org/10.3982/qe1609.

Full text

Abstract:

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 inference in the locally misspecified GMM setting. These bounds may be of independent interest, due to their implications for the possibility of using moment selection procedures when conducting inference in moment condition models. We apply our methods in an empirical application to automobile demand, and show that adjusting the weighting matrix can shrink the CIs by a factor of 3 or more.

APA, Harvard, Vancouver, ISO, and other styles

16

Armstrong, Timothy B., and Michal Kolesár. "Sensitivity analysis using approximate moment condition models." Quantitative Economics 12, no. 1 (2021): 77–108. http://dx.doi.org/10.3982/qe1609.

Full text

Abstract:

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 inference in the locally misspecified GMM setting. These bounds may be of independent interest, due to their implications for the possibility of using moment selection procedures when conducting inference in moment condition models. We apply our methods in an empirical application to automobile demand, and show that adjusting the weighting matrix can shrink the CIs by a factor of 3 or more.

APA, Harvard, Vancouver, ISO, and other styles

17

Stelzer, Robert, Thomas Tosstorff, and Marc Wittlinger. "Moment based estimation of supOU processes and a related stochastic volatility model." Statistics & Risk Modeling 32, no. 1 (January 1, 2015): 1–24. http://dx.doi.org/10.1515/strm-2012-1152.

Full text

Abstract:

AbstractAfter a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU stochastic volatility model we estimate these processes by using the generalized method of moments (GMM). We show that the GMM approach yields consistent estimators and that it works very well in practice. Moreover, we discuss the influence of long memory effects.

APA, Harvard, Vancouver, ISO, and other styles

18

Fathanah, Nur, Erna Tri Herdiani, and Georgina Maria Tinungki. "Taksiran Parameter Multinomial Logit Dengan Menggunakan Generalized Method Of Moment." Jurnal MSA ( Matematika dan Statistika serta Aplikasinya ) 8, no. 1 (July 6, 2020): 1. http://dx.doi.org/10.24252/msa.v8i1.12247.

Full text

Abstract:

Regresi logistik multinomial merupakan perluasan dari regresi logistik biner yang memungkinkan lebih dari dua kategori variabel dependen. Pada paper ini akan membahas penaksiran parameter regresi logistik multinomial melalui Generalized Method of Moment (GMM). Generalized Method of Moment (GMM) merupakan salah satu metode yang dapat mengatasi pelanggaran asumsi pada data seperti autokorelasi dan heteroskedastisitas

APA, Harvard, Vancouver, ISO, and other styles

19

Bibi, Abdelouahab, and Fateh Merahi. "GMM Estimation of Continuous-Time Bilinear Processes." Statistics, Optimization & Information Computing 9, no. 4 (October 8, 2020): 990–1009. http://dx.doi.org/10.19139/soic-2310-5070-902.

Full text

Abstract:

This paper examines the moments properties in frequency domain of the class of first order continuous-timebilinear processes (COBL(1,1) for short) with time-varying (resp. time-invariant) coefficients. So, we used theassociated evolutionary (or time-varying) transfer functions to study the structure of second-order of the process and its powers. In particular, for time-invariant case, an expression of the moments of any order are showed and the continuous-time AR (CAR) representation of COBL(1,1) is given as well as some moments properties of special cases. Based on these results we are able to estimate the unknown parameters involved in model via the so-called generalized method of moments (GMM) illustrated by a Monte Carlo study and applied to modelling two foreign exchange rates of Algerian Dinar against U.S-Dollar (USD/DZD) and against the single European currency Euro (EUR/DZD).

APA, Harvard, Vancouver, ISO, and other styles

20

Yildiz, Neşe. "CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS." Econometric Theory 28, no. 2 (August 3, 2011): 309–27. http://dx.doi.org/10.1017/s0266466611000144.

Full text

Abstract:

This paper studies the problem of estimating the set of finite-dimensional parameter values defined by a finite number of moment inequality or equality conditions and gives conditions under which the estimator defined by the set of parameter values that satisfy the estimated versions of these conditions is consistent in Hausdorff metric. This paper also suggests extremum estimators that with probability approaching 1 agree with the set consisting of parameter values that satisfy the sample versions of the moment conditions. In particular, it is shown that the set of minimizers of the sample generalized method of moments (GMM) objective function is consistent for the set of minimizers of the population GMM objective function in Hausdorff metric.

APA, Harvard, Vancouver, ISO, and other styles

21

M, Amany, Mousa, Ahmed A, El sheikh, Fatma El Zahraa S. Salama, and Ahmed M. Gad. "Reviewing of Different Methods for Handling Longitudinal Count data." Journal of University of Shanghai for Science and Technology 23, no. 08 (August 7, 2021): 195–206. http://dx.doi.org/10.51201/jusst/21/08349.

Full text

Abstract:

In this paper, we will review the methods that used to handle longitudinal data in the case of marginal models when inferences about the population average are the primary focus [1] or when future applications of the results require the expectation of the response as a function of the current covariates [7]. We will review the generalized estimating equations method (GEE), quadratic inference functions (QIF), generalized quasi likelihood (GQL) and the generalized method of moments (GMM). These methods will be reviewed by discussing its advantages and disadvantages in more details.

APA, Harvard, Vancouver, ISO, and other styles

22

Liao, Zhipeng. "ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION." Econometric Theory 29, no. 5 (February 25, 2013): 857–904. http://dx.doi.org/10.1017/s0266466612000783.

Full text

Abstract:

This paper proposes a generalized method of moments (GMM) shrinkage method to efficiently estimate the unknown parameters θo identified by some moment restrictions, when there is another set of possibly misspecified moment conditions. We show that our method enjoys oracle-like properties; i.e., it consistently selects the correct moment conditions in the second set and at the same time, its estimator is as efficient as the GMM estimator based on all correct moment conditions. For empirical implementation, we provide a simple data-driven procedure for selecting the tuning parameters of the penalty function. We also establish oracle properties of the GMM shrinkage method in the practically important scenario where the moment conditions in the first set fail to strongly identify θo. The simulation results show that the method works well in terms of correct moment selection and the finite sample properties of its estimators. As an empirical illustration, we apply our method to estimate the life-cycle labor supply equation studied in MaCurdy (1981, Journal of Political Economy 89(6), 1059–1085) and Altonji (1986, Journal of Political Economy 94(3), 176–215). Our empirical findings support the validity of the instrumental variables used in both papers and confirm that wage is an endogenous variable in the labor supply equation.

APA, Harvard, Vancouver, ISO, and other styles

23

Ullah, Subhan, Pervaiz Akhtar, and Ghasem Zaefarian. "Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data." Industrial Marketing Management 71 (May 2018): 69–78. http://dx.doi.org/10.1016/j.indmarman.2017.11.010.

Full text

APA, Harvard, Vancouver, ISO, and other styles

24

Parente, Paulo M. D. C., and Richard J. Smith. "GEL METHODS FOR NONSMOOTH MOMENT INDICATORS." Econometric Theory 27, no. 1 (April 30, 2010): 74–113. http://dx.doi.org/10.1017/s0266466610000137.

Full text

Abstract:

This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of estimators for models specified by nonsmooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient generalized method of moments (GMM) estimator that may suffer from substantial biases in finite samples. These include empirical likelihood (EL), exponential tilting (ET), and the continuous updating estimator (CUE). This paper also establishes the validity of tests suggested in the smooth moment indicators case for overidentifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix that may be problematic for the sample sizes typically encountered in practice.

APA, Harvard, Vancouver, ISO, and other styles

25

Yesi, Elisandi, Andrian Huruta, and Basukianto Basukianto. "Analyzing determinants of poverty in Central Java with Generalized Method of Moments." Industrija 51, no. 3-4 (2023): 49–71. http://dx.doi.org/10.5937/industrija51-48280.

Full text

Abstract:

The purpose of this study is to examine determinants of poverty in regencies/cities in Central Java. This study examined poverty, investment, savings, and infrastructure as the research variables by focusing on the vicious cycle of poverty. The data was obtained from the Central Bureau of Statistics in Central Java. The data was analyzed using the System-Generalized Method of Moments (SYS-GMM) model using a dynamic panel data model. The results show that both investment and infrastructure negatively and significantly impact poverty. However, saving has a positive and low significant impact on poverty. It was interesting to note that the disparity in savings ownership contributes to the high poverty level. These findings contribute to the government's efforts to alleviate poverty in the regencies/cities in Central Java. Our findings also provide valuable insights into poverty dynamics in Indonesia.

APA, Harvard, Vancouver, ISO, and other styles

26

Breitung, J., N. R. Chaganty, R. M. Daniel, M. G. Kenward, M. Lechner, P. Martus, R. T. Sabo, Y. G. Wang, and C. Zorn. "Discussion of “Generalized Estimating Equations: Notes on the Choice of the Working Correlation Matrix”." Methods of Information in Medicine 49, no. 05 (2010): 426–32. http://dx.doi.org/10.1055/s-0038-1625133.

Full text

Abstract:

Summary Objective: To discuss generalized estimating equations as an extension of generalized linear models by commenting on the paper of Ziegler and Vens “Generalized Estimating Equations: Notes on the Choice of the Working Correlation Matrix”. Methods: Inviting an international group of experts to comment on this paper. Results: Several perspectives have been taken by the discussants. Econometricians have established parallels to the generalized method of moments (GMM). Statisticians discussed model assumptions and the aspect of missing data. Applied statisticians commented on practical aspects in data analysis. Conclusions: In general, careful modeling correlation is encouraged when considering estimation efficiency and other implications, and a comparison of choosing instruments in GMM and generalized estimating equations (GEE) would be worthwhile. Some theoretical drawbacks of GEE need to be further addressed and require careful analysis of data. This particularly applies to the situation when data are missing at random.

APA, Harvard, Vancouver, ISO, and other styles

27

Carrasco, Marine, and Jean-Pierre Florens. "GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS." Econometric Theory 16, no. 6 (December 2000): 797–834. http://dx.doi.org/10.1017/s0266466600166010.

Full text

Abstract:

This paper proposes a version of the generalized method of moments procedure that handles both the case where the number of moment conditions is finite and the case where there is a continuum of moment conditions. Typically, the moment conditions are indexed by an index parameter that takes its values in an interval. The objective function to minimize is then the norm of the moment conditions in a Hilbert space. The estimator is shown to be consistent and asymptotically normal. The optimal estimator is obtained by minimizing the norm of the moment conditions in the reproducing kernel Hilbert space associated with the covariance. We show an easy way to calculate this estimator. Finally, we study properties of a specification test using overidentifying restrictions. Results of this paper are useful in many instances where a continuum of moment conditions arises. Examples include efficient estimation of continuous time regression models, cross-sectional models that satisfy conditional moment restrictions, and scalar diffusion processes.

APA, Harvard, Vancouver, ISO, and other styles

28

Owusu Junior, Peterson, and Carl H. Korkpoe. "Generalised Lambda Distributions by Method of Moments and Maximum Likelihood using the JSE-ASI Returns." Asian Journal of Finance & Accounting 9, no. 1 (April 5, 2017): 224. http://dx.doi.org/10.5296/ajfa.v9i1.10913.

Full text

Abstract:

The four-parameter generalised lambda distribution provides the flexibility required to describe the key moments of any distribution as compared with the normal distribution which characterises the distribution with only two moments. As markets have increasingly become nervous, the inadequacies of the normal distribution in capturing correctly the tail events and describing fully the entire distribution of market returns have been laid bare. The focus of this paper is to compare the generalised method of moments (GMM) and maximum likelihood essential estimates (MLE) methods as subsets of the GLD for a better fit of JSE All Share Index returns data. We have demonstrated that the appropriate method of the GLD to completely describe the measures of central tendency and dispersion by additionally capturing the risk dimensions of skewness and kurtosis of the return distribution is the Generalised Method of Moments (GMM) with the Kolmogorov-Smirnoff Distance good-of-fit statistics and the quantile-quantile graph. These measures are very important to any investor in the equity markets.

APA, Harvard, Vancouver, ISO, and other styles

29

Tinungki, Georgina Maria, Robiyanto Robiyanto, and Powell Gian Hartono. "The Effect of COVID-19 Pandemic on Corporate Dividend Policy in Indonesia: The Static and Dynamic Panel Data Approaches." Economies 10, no. 1 (January 1, 2022): 11. http://dx.doi.org/10.3390/economies10010011.

Full text

Abstract:

This research examines the effect of the crisis due to the COVID-19 pandemic on dividend policy in Indonesia. The purposive sampling method was used to collect data from corporates listed on the IDX from 2014 to 2020 and analyzed using static and dynamic panel data approaches. The fixed-effect models (FEM) were selected for the static panel data regression. Meanwhile, the first difference-generalized method of moments (FD-GMM) and system-generalized method of moments (SYS-GMM) were used for determine the robustness of the estimated dynamic panel data. The results showed that the crisis due to the pandemic led to higher dividend distribution on SYS-GMM. Furthermore, companies maintained the dividend level as a positive signal for investors which lifted the sluggish trade condition in the capital market. Profitability and previous year dividends positively affect dividend policy robustly. Furthermore, the results showed that age affects dividend policy on FD-GMM. Financial leverage has a robust effect, and firm size has an effect on FD-GMM in different directions, while investment opportunity does not affect dividend policy. Statistically, the FEM selected that violates the best linear unbiased estimation was proven to form parameters that were not much different from the estimates produced by the dynamic model, both from the coefficient of influence direction and significance, and the omitted variable bias occurs as evidenced in the robust test with dynamic model was solved. This research is also used as a reference for considering investors’ investment decisions in the new normal condition. Therefore, dividend policy can be considered as a positive signal to investors with the ability to stock trading activities in the capital market.

APA, Harvard, Vancouver, ISO, and other styles

30

Chen, Jianbao, and Suli Cheng. "GMM Estimation of a Partially Linear Additive Spatial Error Model." Mathematics 9, no. 6 (March 15, 2021): 622. http://dx.doi.org/10.3390/math9060622.

Full text

Abstract:

This article presents a partially linear additive spatial error model (PLASEM) specification and its corresponding generalized method of moments (GMM). It also derives consistency and asymptotic normality of estimators for the case with a single nonparametric term and an arbitrary number of nonparametric additive terms under some regular conditions. In addition, the finite sample performance for our estimates is assessed by Monte Carlo simulations. Lastly, the proposed method is illustrated by analyzing Boston housing data.

APA, Harvard, Vancouver, ISO, and other styles

31

Salatin, Parvaneh, and Naahid Noorpoor. "Governance quality impact on health economics in selected countries: The panel data approach." Journal of Governance and Regulation 4, no. 2 (2015): 148–54. http://dx.doi.org/10.22495/jgr_v4_i2_c1_p8.

Full text

Abstract:

The purpose of this paper is investigating the theoretical relationship between the effectiveness of governance quality on health economics in selected middle-income countries, using panel data. The Results of the estimation by using the Method of Generalized Least Squares (GLS) & Generalized Method of Moments (GMM) in selected countries for the period 2002-2011 show that governance quality has positive & significant effect on the life expectancy as an index showing the health economics in the group of the selected countries.

APA, Harvard, Vancouver, ISO, and other styles

32

ÇİTİL, Mücahit. "YEŞİL LOJİSTİK VE LOJİSTİK PERFORMANS İLE YÖNETİŞİM KALİTESİ ARASINDAKİ İLİŞKİYE YÖNELİK BİR İNCELEME." Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 12, no. 24 (November 28, 2022): 322–52. http://dx.doi.org/10.53092/duiibfd.1133548.

Full text

Abstract:

Bu çalışma genel lojistik performansın yanı sıra yeşil lojistik performansın da Dünya Yönetişim Göstergelerinden nasıl etkilendiği sorusu çerçevesine şekillenmiştir. Bu amaçla, gelişme aşamaları birbirine yakınsayan 14 gelişmekte olan ülkenin 1996-2020 yılları arasındaki verisi kullanılmıştır. Tahmin yöntemi olarak GMM (Generalized Method of Moments) ve SGMM (System Generalized Method of Moments) tahmincileri tercih edilmiştir. Elde edilen sonuçlar, hükümetin etkinliği, düzenleme kalitesi, hukukun üstünlüğü ve yolsuzluğu önleme göstergelerindeki iyileşmenin hem genel lojistik performansı hem de yeşil lojistik performansı arttırdığını ortaya koymuştur. Buna karşın politik İstikrar ve ifade özgürlüğü- hesap verilebilirlik göstergelerinin hem genel lojistik performans hem de yeşil lojistik performans üzerinde herhangi bir etkiye sahip olduğuna yönelik bir çıkarımda bulunmanın zor olduğunu söylemek mümkündür.

APA, Harvard, Vancouver, ISO, and other styles

33

Caner, Mehmet. "LASSO-TYPE GMM ESTIMATOR." Econometric Theory 25, no. 1 (February 2009): 270–90. http://dx.doi.org/10.1017/s0266466608090099.

Full text

Abstract:

This paper proposes the least absolute shrinkage and selection operator–type (Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is formed by the GMM objective function with the addition of a penalty term. The exponent of the penalty term in the regular Lasso estimator is equal to one. However, the exponent of the penalty term in the Lasso-type estimator is less than one in the analysis here. The magnitude of the exponent is reduced to avoid the asymptotic bias. This estimator selects the correct model and estimates it simultaneously. In other words, this method estimates the redundant parameters as zero in the large samples and provides the standard GMM limit distribution for the estimates of the nonzero parameters in the model. The asymptotic theory for our estimator is nonstandard. We conduct a simulation study that shows that the Lasso-type GMM correctly selects the true model much more often than the Bayesian information Criterion (BIC) and another model selection procedure based on the GMM objective function.

APA, Harvard, Vancouver, ISO, and other styles

34

Abonazel, Mohamed. "Bias correction methods for dynamic panel data models with fixed effects." International Journal of Applied Mathematical Research 6, no. 2 (May 24, 2017): 58. http://dx.doi.org/10.14419/ijamr.v6i2.7774.

Full text

Abstract:

This paper considers the estimation methods for dynamic panel data (DPD) models with fixed effects, which suggested in econometric literature, such as least squares (LS) and generalized method of moments (GMM). These methods obtain biased estimators for DPD models. The LS estimator is inconsistent when the time dimension (T) is short regardless of the cross-sectional dimension (N). Although consistent estimates can be obtained by GMM procedures, the inconsistent LS estimator has a relatively low variance and hence can lead to an estimator with lower root mean square error after the bias is removed. Therefore, we discuss in this paper the different methods to correct the bias of LS and GMM estimations. The analytical expressions for the asymptotic biases of the LS and GMM estimators have been presented for large N and finite T. Finally; we display new estimators that presented by Youssef and Abonazel [40] as more efficient estimators than the conventional estimators.

APA, Harvard, Vancouver, ISO, and other styles

35

Vigo-Pereira, Caio, and Márcio Laurini. "Portfolio Efficiency Tests with Conditioning Information—Comparing GMM and GEL Estimators." Entropy 24, no. 12 (November 22, 2022): 1705. http://dx.doi.org/10.3390/e24121705.

Full text

Abstract:

We evaluate the use of generalized empirical likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. The use of conditional information is relevant to portfolio management as it allows for checking whether asset allocations are efficiently exploiting all the information available in the market. Estimators from the GEL family present some optimal statistical properties, such as robustness to misspecifications and better properties in finite samples. Unlike generalized method of moments (GMM) estimators, the bias for GEL estimators does not increase with the number of moment conditions included, which is expected in conditional efficiency analysis. Due to these better properties in finite samples, our main hypothesis is that portfolio efficiency tests using GEL estimators may have better properties in terms of size, power, and robustness. Using Monte Carlo experiments, we show that GEL estimators have better performance in the presence of data contaminations, especially under heavy tails and outliers. Extensive empirical analyses show the properties of the estimators for different sample sizes and portfolio types for two asset pricing models.

APA, Harvard, Vancouver, ISO, and other styles

36

Salawu, Mary Kehinde. "Factors Influencing Auditor Independence among Listed Companies in Nigeria: Generalized Method of Moments (GMM) Approach." International Journal of Economics and Finance 9, no. 8 (July 19, 2017): 191. http://dx.doi.org/10.5539/ijef.v9n8p191.

Full text

Abstract:

The study examines the factors influencing auditor independence among listed companies in Nigeria. A sample of 65 firms out of the 194 listed on the Nigerian Stock Exchange (NSE) were purposively selected for analysis, these comprise 14 money deposit banks (financial), 1 mortgage bank and 50 non-financial firms. Secondary data were employed for the study and were sourced from the audited financial reports of sampled companies and fact book of the Nigerian Stock Exchange between the periods of 2006 and 2013. Data were analysed using descriptive statistics and Generalised Method of Moments (GMM). Preliminary tests were carried out such as Sargan test, Arellano-Bond Serial Correlation Test among others. The study revealed that Big4, audit tenure, profitability, leverage and inventory with account receivable had negative significant impact, which can impair auditor independence, while size of the firms and loss had positive influence on auditor independence in Nigeria. Also, the square root of the number of subsidiaries was positively related to auditor independence, but not significant and the total number of subsidiaries had positive influence on auditor independence but not significant. These results implied that the two variables can increase the complexity of the audit and, consequently, a rise in audit fees expect in their presence. This will in turn reduce auditor independence. The study therefore recommended that joint audit be adopted and audited tenure be reviewed. The findings of the study would enable management, regulators, investors and other stock market participants to play their unique and important roles in enhancing auditor independence in Nigeria.

APA, Harvard, Vancouver, ISO, and other styles

37

Christiano, Lawrence J. "Special Section on Small-Sample Properties of Generalized Method of Moments (GMM) Associate Editor's Introduction." Journal of Business & Economic Statistics 14, no. 3 (July 1996): 261. http://dx.doi.org/10.1080/07350015.1996.10524655.

Full text

APA, Harvard, Vancouver, ISO, and other styles

38

Bollen, Kenneth A., Stanislav Kolenikov, and Shawn Bauldry. "Model-Implied Instrumental Variable—Generalized Method of Moments (MIIV-GMM) Estimators for Latent Variable Models." Psychometrika 79, no. 1 (April 11, 2013): 20–50. http://dx.doi.org/10.1007/s11336-013-9335-3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

Aini, Hanifah Nur, Dwi Ispriyanti, and Suparti Suparti. "ANALISIS REGRESI FAKTOR PANEL DINAMIS BLUNDELL-BOND DENGAN ESTIMASI SYSTEM-GENERALIZED METHOD OF MOMENT PADA SAHAM FARMASI DI BEI." Jurnal Gaussian 11, no. 3 (January 3, 2023): 447–57. http://dx.doi.org/10.14710/j.gauss.11.3.447-457.

Full text

Abstract:

The pharmaceutical sector has become a concern during the Covid-19 pandemic because of the large use of drugs. Companies need to improve financial performance to increase their share prices and investors need analysis to predict future stock prices. This study aims to analyze the influence of stock prices on 10 pharmaceutical companies on the Indonesia Stock Exchange during the third quarter of 2020 to the third quarter of 2021. Based on previous research, the factors that are thought to have an effect on changes in stock prices are internal financial ratios (ROA, ROE, NPM, GPM, EPS, PER, BV, PBV, DAR, DER, CR, QR, Cash Asset Ratio) and external inflation, exchange rates, interest rates. The method used in this research is dynamic panel factor regression analysis with GMM (Generalized Method of Moment) estimation. Factor analysis to reduce the independent variables to form a factor score which is then entered into the regression. The regression model was obtained from the comparison of Arellano-Bond GMM and Blundell-Bond System. The GMM system is the development of Arellano-Bond which will produce more efficient estimates when the sample time series is short. The results of the study were obtained 3 factor scores with a total variance of 81.757% from the elimination of 6 variables that had MSA <0.5. The best model is the Blundell-Bond Twostep System which fulfills the model assumptions with RMSE 803.276.

APA, Harvard, Vancouver, ISO, and other styles

40

Kuersteiner, Guido M. "EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY." Econometric Theory 18, no. 3 (May 15, 2002): 547–83. http://dx.doi.org/10.1017/s0266466602183010.

Full text

Abstract:

This paper analyzes autoregressive time series models where the errors are assumed to be martingale difference sequences that satisfy an additional symmetry condition on their fourth-order moments. Under these conditions quasi maximum likelihood estimators of the autoregressive parameters are no longer efficient in the generalized method of moments (GMM) sense. The main result of the paper is the construction of efficient semiparametric instrumental variables estimators for the autoregressive parameters. The optimal instruments are linear functions of the innovation sequence.It is shown that a frequency domain approximation of the optimal instruments leads to an estimator that only depends on the data periodogram and an unknown linear filter. Semiparametric methods to estimate the optimal filter are proposed.The procedure is equivalent to GMM estimators where lagged observations are used as instruments. As a result of the additional symmetry assumption on the fourth moments the number of instruments is allowed to grow at the same rate as the sample. No lag truncation parameters are needed to implement the estimator, which makes it particularly appealing from an applied point of view.

APA, Harvard, Vancouver, ISO, and other styles

41

Hayat, Muhammad Munwar, and Raheela Khatoon. "Determinants of Basmati Exports from Pakistan: A Panel Data Analysis." Journal of Economic Impact 3, no. 1 (March 29, 2021): 12–18. http://dx.doi.org/10.52223/jei3012102.

Full text

Abstract:

This paper aims to estimate the impact of different factors of basmati exports from Pakistan to its trading partner. Results are obtained by using the Generalized Method of Moments (GMM) model and panel data methodology with a sample of 22 countries for the period of 2003-2019. To estimate the impact of different variables on basmati exports Generalized Method of Moments (GMM) model is used on the panel dataset. The results revealed that the inflation rate of Pakistan has a negative and significant effect on the export competitiveness of Pakistani basmati. The exchange rate of Pakistan has a positive and significant impact on the basmati export, the population of Pakistan has a negative and significant impact on basmati export. Basmati production in Pakistan also has a significant and negative impact on basmati export. The Gross Domestic Product (GDP) of Pakistan has a significant and positive impact on the basmati export while the GDP of the trading partner has a significant and negative impact on the basmati export. The dummy variable for joint border also has a positive and significant impact on basmati exports of Pakistan.

APA, Harvard, Vancouver, ISO, and other styles

42

Jenish, Nazgul. "SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS." Econometric Theory 32, no. 3 (December 18, 2014): 714–39. http://dx.doi.org/10.1017/s0266466614000905.

Full text

Abstract:

This paper proposes a semiparametric generalized method of moments estimator (GMM) estimator for a partially parametric spatial model with endogenous spatially dependent regressors. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. A spatial heteroscedasticity and autocorrelation consistent covariance estimator is constructed for the GMM estimator. The leading application is nonlinear spatial autoregressions, which arise in a wide range of strategic interaction models. To derive the asymptotic properties of the estimator, the paper also establishes a stochastic equicontinuity criterion and functional central limit theorem for near-epoch dependent random fields.

APA, Harvard, Vancouver, ISO, and other styles

43

Wong, Woon K. "A GMM Skewness and Kurtosis Ratio Test for Higher Moment Dependence." Journal of Financial Econometrics 18, no. 2 (March 20, 2019): 307–32. http://dx.doi.org/10.1093/jjfinec/nbz011.

Full text

Abstract:

Abstract This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios using the generalized methods of moments. In particular, overlapping observations are used in which dependencies are explicitly modeled to make the tests more powerful and have better size properties. The proposed higher-order ratio tests can be useful in risk management where risk models are estimated using daily data but multiperiod forecasts of tail risks are required for the determination of risk capital. Application of the tests finds significant higher moment dependence in the U.S. stock market returns.

APA, Harvard, Vancouver, ISO, and other styles

44

Loukil, Kamilia. "Macroeconomic Determinants of Entrepreneurship in Emerging and Developing Countries." Business and Economic Research 9, no. 4 (October 27, 2019): 79. http://dx.doi.org/10.5296/ber.v9i4.15713.

Full text

Abstract:

This study examines which factors in macroeconomic environment can stimulate entrepreneurial activity in emerging and developing countries. We employ a System Generalized Method of Moments (System GMM) technique to examine determinants of entrepreneurial activity for a panel of 30 countries during the period 2004-2012. Findings show the importance of demand and institutional framework for new business entry. Moreover, we find that entrepreneurship is an autoregressive process.

APA, Harvard, Vancouver, ISO, and other styles

45

Allison, Paul D., Richard Williams, and Enrique Moral-Benito. "Maximum Likelihood for Cross-lagged Panel Models with Fixed Effects." Socius: Sociological Research for a Dynamic World 3 (January 1, 2017): 237802311771057. http://dx.doi.org/10.1177/2378023117710578.

Full text

Abstract:

Panel data make it possible both to control for unobserved confounders and allow for lagged, reciprocal causation. Trying to do both at the same time, however, leads to serious estimation difficulties. In the econometric literature, these problems have been solved by using lagged instrumental variables together with the generalized method of moments (GMM). Here we show that the same problems can be solved by maximum likelihood (ML) estimation implemented with standard software packages for structural equation modeling (SEM). Monte Carlo simulations show that the ML-SEM method is less biased and more efficient than the GMM method under a wide range of conditions. ML-SEM also makes it possible to test and relax many of the constraints that are typically embodied in dynamic panel models.

APA, Harvard, Vancouver, ISO, and other styles

46

Mumtaz, Majid, Wisal Ahmad, and Syed Arshad Ali Shah. "Determinants of Corporate Cash Holdings in Hospitality Sector of France, Spain and United States of America." Global Economics Review V, no. III (September 30, 2020): 55–66. http://dx.doi.org/10.31703/ger.2020(v-iii).06.

Full text

Abstract:

This study determines the effect of parameters used for cash holding in hospitality sector (HS) of target countries i-e France, Spain and United State of America for the period of 14 years (2005-2018). The parameters consist of firm size, leverage, capital expenditure, growth opportunity, liquidity, cash flow, cash flow volatility, asset intangibility, dividend payments and stock exchange. Dynamic panel data is employed for empirical estimation i-e Generalized Method of Moments (GMM). System GMM model estimation reveals that leverage, cash flow volatility and asset intangibility influence cash holdings positively while size, capital expenditure, growth opportunities and cash flow affect cash holdings negatively.

APA, Harvard, Vancouver, ISO, and other styles

47

Bolarinwa, Segun Thompson, and Funmi Soetan. "The effect of corruption on bank profitability." Journal of Financial Crime 26, no. 3 (July 2, 2019): 753–73. http://dx.doi.org/10.1108/jfc-09-2018-0102.

Full text

Abstract:

Purpose This paper aims to investigate the effect of corruption on bank profitability. Design/methodology/approach The paper adopts panel cointegration, differenced generalized method of moments (GMM) and system GMM. Findings The empirical results show that corruption is important in explaining the profitability of commercial banks in both developed and emerging countries. While it has mixed effects in emerging countries, only positive effect is validated in developed countries. Research limitations/implications Macroeconomic measures of corruption are adopted in the study. Originality/value The paper contributes to the literature on corruption and bank profitability by reporting evidence from both developed and developing countries. Existing papers have only concentrated on developing countries.

APA, Harvard, Vancouver, ISO, and other styles

48

Sari, Dyah Wulan, and Wenny Restikasari. "Pola Perdagangan Global pada Perusahaan-Perusahaan Berteknologi Tinggi." Jurnal Ekonomi dan Pembangunan Indonesia 21, no. 1 (January 27, 2021): 77–94. http://dx.doi.org/10.21002/jepi.v21i1.1342.

Full text

Abstract:

This study deals with firm level data of Indonesian high-tech manufacturing industries to determine firm’s production, especially among global trade variables, such as export intensity, vertical trade integration, and two-way trade. This study employs a generalized method of moments (GMM) approach to examine the most important factors of a global trade phenomenon. In the full-sample, the result demonstrates that vertical trade integration and two-way trade are significant determinants on firm’s production while export intensity is not. In ordinary trader sub-sample, export intensity is a significant determinant of firm’s production, whereas in vertical trader sub-sample export intensity is not. ........................................... Penelitian ini menggunakan data tingkat perusahaan pada industri manufaktur berteknologi tinggi di Indonesia untuk menentukan kemampuan produksi suatu perusahaan, dari berbagai variabel perdagangan global, seperti intensitas ekspor, perdagangan vertikal yang terintegrasi, dan perdagangan dua arah terhadap. Penelitian ini menggunakan pendekatan generalized method of moment (GMM) untuk menguji faktor terpenting dari fenomena perdagangan global. Pada sampel penuh, hasil penelitian menunjukkan bahwa perdagangan vertikal yang terintegrasi dan perdagangan dua arah merupakan faktor penentu yang signifikan terhadap kemampuan produksi perusahaan sedangkan intensitas ekspor tidak. Pada sub-sampel pedagang biasa, intensitas ekspor merupakan faktor penentu yang signifikan terhadap kemampuan produksi perusahaan, sedangkan pada sub-sampel pedagang vertikal intensitas ekspor bukan merupaka faktor penentu.

APA, Harvard, Vancouver, ISO, and other styles

49

Tripathi, Gautam. "Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known." Journal of Econometrics 165, no. 2 (December 2011): 258–65. http://dx.doi.org/10.1016/j.jeconom.2011.08.004.

Full text

APA, Harvard, Vancouver, ISO, and other styles

50

Hosen, Md Arif, Sujan Chandra Paul, and Md Harun Or Rosid. "Impact of democracy on literacy rate." International Journal of Research in Business and Social Science (2147- 4478) 9, no. 7 (December 12, 2020): 204–11. http://dx.doi.org/10.20525/ijrbs.v9i7.968.

Full text

Abstract:

This study investigates the impact of democracy indices on the literacy rate. Panel Data of 134 Countries from 2007-2018 were collected from the website the World Bank and Gapminder. This study uses Ordinary Least Square (OLS), Pooled Ordinary Least Square (POLS), Driscoll-Kraay (DK), Second Stage Least Square (2SLS), Generalized Methods of Moments (GMM) methods. This research has found that political participation index and political culture index has a significant positive relationship with literacy rate in all the method. The functioning of the government index has a significant positive relationship and electoral process and the pluralism index has a significant negative relationship with literacy rate in all the methods except the GMM method. The civil liberties index has a significant negative relationship with literacy rate in POLS and in the other models, there is no significant relationship between the civil liberties index and literacy rate.

APA, Harvard, Vancouver, ISO, and other styles

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

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles