Nonlinear Models and Generalized Method of Moments

1996 ◽  
pp. 99-121
Author(s):  
Myoung-jae Lee
Keyword(s):  
Method Of Moments ◽  
Nonlinear Models ◽  
Generalized Method Of Moments

scholarly journals Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Yi Hu ◽  
Xiaohua Xia ◽  
Ying Deng ◽  
Dongmei Guo
Keyword(s):  
Method Of Moments ◽  
Mean Squared Error ◽  
Nonlinear Models ◽  
Generalized Method Of Moments ◽  
Higher Order ◽  
Mean Square ◽  
Finite Sample ◽  
Squared Error ◽  
Moments Estimators ◽  
Moment Restriction

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.

Using information from singletons in fixed-effects estimation: xtfesing

2020 ◽  
Vol 20 (4) ◽  
pp. 965-975
Author(s):  
Laura Magazzini ◽  
Randolph Luca Bruno ◽  
Marco Stampini
Keyword(s):  
Panel Data ◽  
Method Of Moments ◽  
Fixed Effects ◽  
Generalized Method Of Moments ◽  
Panel Data Regression ◽  
Data Regression ◽  
Method Of Moments Estimator ◽  
Fixed Effects Estimation

In this article, we describe the xtfesing command. The command implements a generalized method of moments estimator that allows exploiting singleton information in fixed-effects panel-data regression as in Bruno, Magazzini, and Stampini (2020, Economics Letters 186: Article 108519).

Does Bank Profitability Stimulate Economic Growth in the Arab Region?

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Omar Ghazy Aziz
Keyword(s):  
Financial Development ◽  
Method Of Moments ◽  
Positive Impact ◽  
Generalized Method Of Moments ◽  
Arab Countries ◽  
Return On Assets ◽  
Bank Profitability ◽  
Arab Region ◽  
Return On Equity ◽  
The Impact

AbstractThis study empirically investigates the impact of bank profitability, as a complementary measure of financial development, on growth in the Arab countries between 1985 and 2016. Using a generalized method of moments (GMM) estimation to test the impact of the bank profitability on growth, this study utilises two variables in the econometric model which are return on assets and return on equity. This study reveals that both variables of bank profitability are positive and significant. This confirms that the bank profitability, beside other financial development variables, has positive impact on the growth. This study points out some important implications based on this result.

Assessing the bank profitability in the MENA region

2014 ◽  
Vol 7 (3) ◽  
pp. 305-332 ◽  
Author(s):  
Rim Ben Selma Mokni ◽  
Houssem Rachdi
Keyword(s):  
Method Of Moments ◽  
North Africa ◽  
Banking Sector ◽  
Middle Eastern ◽  
Generalized Method Of Moments ◽  
Mena Region ◽  
Bank Profitability ◽  
Content Type ◽  
Conventional Banks ◽  
Econometric Technique

Purpose – Which of the banking stream is relatively more profitable in Middle Eastern and North Africa (MENA) region? Design/methodology/approach – The empirical study covers a sample of 15 conventional and 15 Islamic banks for the period 2002-2009.The authors estimate models using the generalized method of moments in system, of Blundell and Bond (1998). They exploit an up-to-date econometric technique which takes into consideration the issue of endogeneity of regressors to evaluate the comparative profitability of Islamic and conventional banks in the MENA region. Findings – Empirical analysis results show that the determinants’ significance varies between Islamic and conventional banks. Profitability seems to be quite persistent in the MENA region reflecting a higher degree of government intervention and may signal barriers to competition. Originality/value – The main interest is to develop a comprehensive model that integrates macroeconomic, industry-specific and bank-specific determinants. The paper makes comparison of the performance between two different banking systems in the MENA region. The authors consider a variable crisis to gain additional insights into the impacts of the financial crisis on MENA banking sector.

The impact of urbanization on energy consumption and efficiency

2017 ◽  
Vol 28 (7) ◽  
pp. 673-686 ◽  
Author(s):  
Pengfei Sheng ◽  
Yaping He ◽  
Xiaohui Guo
Keyword(s):  
Energy Consumption ◽  
Method Of Moments ◽  
Energy Use ◽  
Generalized Method Of Moments ◽  
Method Of Moments Estimation ◽  
Process Of Urbanization ◽  
Per Capita ◽  
Using Data ◽  
Impact Of Urbanization ◽  
The Impact

There is no consensus about the impact of urbanization on energy efficiency. We seek to fill this gap in literature using data from 78 countries for the period of 1995 through 2012. Extending the Stochastic Impacts by Regression on Population, Affluence, and Technology model, we identify the impact of urbanization on energy consumption and efficiency. Results of generalized method of moments estimation indicate that the process of urbanization leads to substantial increases in both the actual and the optimal energy consumption, but a decrease in efficiency of energy use. In addition, we find that the extent to which energy inefficiency correlates with urbanization is greater in countries with higher gross domestic product per capita.

scholarly journals Factors Influencing Auditor Independence among Listed Companies in Nigeria: Generalized Method of Moments (GMM) Approach

2017 ◽  
Vol 9 (8) ◽  
pp. 191 ◽  
Author(s):  
Mary Kehinde Salawu
Keyword(s):  
Method Of Moments ◽  
Stock Exchange ◽  
Generalized Method Of Moments ◽  
Secondary Data ◽  
Audit Fees ◽  
Listed Companies ◽  
Positive Influence ◽  
Auditor Independence ◽  
Financial Reports ◽  
Factors Influencing

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.

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