NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Anthony W. Lynch, Jessica A. Wachter

NBER Working Paper No. 14411
Issued in October 2008

---- Acknowledgements -----

We thank Yacine Ait-Sahalia, David Chapman, Robert Engle, Martin Lettau, Andrew Lo, Kenneth Singleton, Robert Stambaugh, Jim Stock, Amir Yaron, Motohiro Yogo, as well as seminar participants at the 2005 AFA meetings, at New York University, at the Wharton School and at the University of Pennsylvania Department of Economics for their comments and suggestions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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