This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a s
Our paper can be used as a guide for those interested in learning about the GMM method with applications in Finance. These files can be used by readers who wish to follow the tutorial using the same d
Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make
In biomedical studies, one is often interested in repeat events with longitudinal observations occurring only intermittently, resulting in panel count data. The first stage of labor, measured through
