摘要
当代金融经济学的实证研究使用大量的计量经济学方法.自从Hansen(1982)提出广义矩(GMM)方法以来,它已成为计量经济模型的一种重要估计方法,尤其在估计和检验资产定价模型的领域中.因此本文主要讨论了广义矩估计的基本思想,一些基本性质,与常见的几种参数估计法的关系,以及在CAPM模型检验中的应用,并给出实证分析.
The methods of econometrics are usually used in modern financial empirical analysis. The GMM becomes an important method since it was developed by Hansen in 1982, especially in estimating and testing asset pricing model.So in this paper we mainly talk about GMM basic properties,it's relationship with other method,it's use in CAPM,and an empirical analysis.
出处
《应用数学》
CSCD
北大核心
2006年第S1期184-188,共5页
Mathematica Applicata
