Procedures based on the Generalized Method of Moments (GMM) (Hansen, 1982) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic distribution does not provide accurate p-values and confidence intervals in moderate to small samples. Moreov...

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegr...

The local robustness properties of generalized method of moments (GMM) estimators and of a broad class of GMM based tests are investigated in a uni"ed framework. GMM statistics are shown to have bounded in#uence if and only if the function de"ning the orthogonality restrictions imposed on the underlying model is bounded. Since in many applications this function is unbounded, it is useful to hav...

Panel data allow correction for measurement error without assuming a known measurement error covariance matrix or using additional validation/replication data to estimate the measurement error covariance matrix. Griliches and Hausman (1986) proposed using the generalized method of moments (GMM) or optimal weighting to efficiently combine instrumental variable (IV) estimators. Wansbeek (2001) ap...

This study empirically examines the impact of geographic expansion and income diversification on bank stability in Vietnam between 2006 2015 using system generalized method moments (GMM). The findings show that general can enhance while per se does not. results also indicate state-owned commercial banks could only benefit from rather than diversification. However, foreign ownership tends to pro...

Current study aims to investigate the impact of institutional governance (GOV), trade openness (TOPEN), real output (RGDP), economic freedom (EFR), inflation rate (INFR) and growth on financial sector development (FSD) selected Asian economies. A consolidated index, representing banking stock market is generated using Principal Component Analysis (PCA). The conducted data analysis by applying p...

This paper estimates the factors affecting Vietnamese small and medium-sized enterprises (SMEs) listed on Hanoi Stock Exchange Chi Minh City between 2009 2019. The author adopts a quantitative method (the “Generalized Method of Moments”-GMM) to investigate six statistically significant variables positively SMEs’ performance at 5%. These include profitability lag, firm size, leverage ratio, reve...