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research article
oaioai:ojs.pkp.sfu.ca:article/3336

Monte Carlo Simulation Of The Portfolio-Balance Model Of Exchange Rates: Finite Sample Properties Of The GMM Estimator

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Publication date
1 January 2007
Publisher
Clute Institute
Doi

    Abstract

    Using Monte Carlo simulation of the Portfolio-balance model of the exchange rates, we report finite sample properties of the GMM estimator for testing over-identifying restrictions in the simultaneous equations model. F-form of Sargan’s statistic performs better than its chi-squared form while Hansen’s GMM statistic has the smallest bias

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    This paper was published in Clute Institute: Journals.

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