Finance Papers

Document Type

Journal Article

Date of this Version

2013

Publication Source

Journal of Financial and Quantitative Analysis

Volume

48

Issue

1

Start Page

277

Last Page

307

DOI

10.1017/S0022109013000070

Abstract

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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Date Posted: 27 November 2017

This document has been peer reviewed.