Take Action

Home | Faculty & Research Overview | Research

Research Details

Generalized Method Moments in Finance, Journal of Business & Economic Statistics

Abstract

We provide a brief overview of applications of generalized method of moments in finance. The models examined in the empirical finance literature, especially in the asset pricing area, often imply moment conditions that can be used in a straight forward way to estimate the model parameters without making strong assumptions regarding the stochastic properties of variables observed by the econometrician. Typically the number of moment conditions available to the econometrician would exceed the number of model parameters. This gives rise to overidentifying restrictions that can be used to test the validity of the model specifications. These advantages have led to the widespread use of the generalized method of moments in the empirical finance literature.

Type

Article

Author(s)

Ravi Jagannathan, Georgios Skoulakis, Zhenyu Wang

Date Published

2002

Citations

Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang. 2002. Generalized Method Moments in Finance. Journal of Business & Economic Statistics. 20(4)

KELLOGG INSIGHT

Explore leading research and ideas

Find articles, podcast episodes, and videos that spark ideas in lifelong learners, and inspire those looking to advance in their careers.
learn more

COURSE CATALOG

Review Courses & Schedules

Access information about specific courses and their schedules by viewing the interactive course scheduler tool.
LEARN MORE

DEGREE PROGRAMS

Discover the path to your goals

Whether you choose our Full-Time, Part-Time or Executive MBA program, you’ll enjoy the same unparalleled education, exceptional faculty and distinctive culture.
learn more

Take Action