Using Samples of Unequal Length in Generalized Method of Moments Estimation

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Finance Papers
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Finance and Financial Management
Management Sciences and Quantitative Methods
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Lynch, Anthony W
Wachter, Jessica A
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This 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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2013-01-01
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Journal of Financial and Quantitative Analysis
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