Generalized Method of Moments (GMM)

Slides

• Lecture 1

Papers

• Jagannathan R., G. Skoulakis and Z. Wang, 2002, Generalized Method of Moments: Applications in Finance, Journal of Business & Statistics 20, 470-481.

• Chan K., A. Karolyi, F. Longstaff, and A. Sanders, 1992, An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, Journal of Finance 47, 1209-1227

• Jagannathan R. and Z. Wang, 1996, The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance 51, 3-53.

• Mehra R. and E. Prescott, 1985, The Equity Premium: A Puzzle, Journal of Monetary Economics 15, 145-161.

• David A. and M. Isakin, 2017, Credit Ratings, Credit Crunches, and Collateralized Debt Obligations, Working Paper.

Research project

• Description

R - code

• An example of a moment condition

• Consistency of the GMM estimator (binomial distribution example)

• Equity premium puzzle with additional instruments

Data

• FRED, Federal Reserve Bank of St. Louis

• Yahoo! Finance

• Fama/French data