Um Tutorial sobre o Método Generalizado dos Momentos (GMM) em Finanças



Artigo principal Conteúdo

Alan de Genaro
Paula Astorino

Resumo

Contexto: problemas empíricos em que o pesquisador se depara com um modelo que seja parcialmente especificado. Nestes casos, o método GMM é a alternativa natural para estimação dos parâmetros de interesse. Objetivo: o propósito deste artigo é oferecer um tutorial que permita ao pesquisador compreender os aspectos conceituais e práticos do método GMM. Métodos: são apresentadas as características, formas de estimação, e algumas limitações associadas ao método em duas aplicações na área de finanças empíricas. A primeira aplicação é para a estimação dos parâmetros dos modelos de apreçamento de ativos baseados em consumo; o segundo é a estimação dos parâmetros do modelo para descrever a taxa de juros em tempo contínuo. Os dados e o código em R são fornecidos nos apêndices on-line. Conclusão: o método GMM pode ser utilizado em problemas onde outros métodos como máxima verossimilhança não são factíveis, ou ainda quando se deseja estimar um modelo parcialmente especificado.



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Genaro, A. de, & Astorino, P. (2022). Um Tutorial sobre o Método Generalizado dos Momentos (GMM) em Finanças. Revista De Administração Contemporânea, e210287. https://doi.org/10.1590/1982-7849rac2022210287.en
Seção
Artigos Metodológicos

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