Nonlinear models and small sample performance of the generalized method of moments

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Title:	Nonlinear models and small sample performance of the generalized method of moments
Author:	Ventura, Eva
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	In this paper I explore the issue of nonlinearity (both in the datageneration process and in the functional form that establishes therelationship between the parameters and the data) regarding the poorperformance of the Generalized Method of Moments (GMM) in small samples.To this purpose I build a sequence of models starting with a simple linearmodel and enlarging it progressively until I approximate a standard (nonlinear)neoclassical growth model. I then use simulation techniques to find the smallsample distribution of the GMM estimators in each of the models.
Subject(s):	-gmm -small sample -simulation -Macroeconomics and International Economics
Rights:	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document type:	Working Paper
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