The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (weak or strong) cannot exist.

In this paper, we propose a method based on GMM (the generalized method of moments) to estimate the parameters of stable distributions with 0 < α < 2. We don’t assume symmetry for stable distributions. AMS 2000 Mathematics Subject Classification: Primary 62H12; Secondary 62F12, 62H12

We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor models, and by taking into account some of the prescriptions for improving empirical tests suggested by ...

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kern...

Economic growth is one of factor for knowing rate income in some country and the from indicator value Gross Domestic Product (GDP). The to be expected that affected GDP are Human Development Index (HDI), Foreign Investment, inflation, export net, Labour Participation Rate, Government Spending. research determine a model short-term effect also long-term variable suspected affect economic Indones...

This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is the normalised outer product of the smoothed random vectors and is therefore automatically positive sem...

a time-domain approach is presented to calculate electromagnetic fields inside a large electromagnetic pulse (emp) simulator. this type of emp simulator is used for studying the effect of electromagnetic pulses on electrical apparatus in various structures such as vehicles, a reoplanes, etc. the simulator consists of three planar transmission lines. to solve the problem, we first model the meta...