(a) Explain the principle behind the method of moments estimator. (b) What is the difference between the...

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(a) Explain the principle behind the method of moments estimator.

(b) What is the difference between the method of moments and the generalised method of moments (GMM)?

(c) Explain what overidentifying restrictions are and how they are used in the context of GMM estimation.

(d) Contrast the Fama–MacBeth and GMM procedures for empirical asset pricing – what are the advantages and disadvantages of each approach?

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Introductory Econometrics For Finance

ISBN: 9781108436823

4th Edition

Authors: Chris Brooks

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Question Posted: Jul 23, 2024 10:00 AM

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(a) Explain the principle behind the method of moments estimator. (b) What is the difference between the...

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Introductory Econometrics For Finance

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