TY  - JOUR
AU  - Lynch,Anthony W.
AU  - Wachter,Jessica A.
TI  - Using Samples of Unequal Length in Generalized Method of Moments Estimation
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14411
PY  - 2008
Y2  - October 2008
UR  - http://www.nber.org/papers/w14411
L1  - http://www.nber.org/papers/w14411.pdf
N1  - Author contact info:
Anthony W. Lynch
New York University
44 W. 4th Street, #9-190
New York, NY  10012
Tel: 212/998-0350
Fax: NA
E-Mail: alynch@stern.nyu.edu

Jessica Wachter
Department of Finance
2300 SH-DH
The Wharton School
University of Pennsylvania
3620 Locust Walk
Philadelphia, PA 19104
Tel: 215/898-7634
Fax: 215/898-6200
E-Mail: jwachter@wharton.upenn.edu
AB  - Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, asymptotically normal, and more efficient asymptotically than standard GMM. We apply these methods to estimating predictive regressions in international data and show that the use of the full sample affects point estimates and standard errors for both assets with data available for the full period and assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones. 
ER  -