• 응용통계연구
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• 제26권5호
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• pp.767-783
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• 2013

일반화적률추정법(GMM)은 금융자료에 대한 모형모수의 추정에 자주 이용되는 방법이다. 특히 GMM은 현대금융 공학 이론의 기본을 이루는 확산모형의 추정에도 매우 자주 사용된다. 그러나 최근의 연구에서 GMM은 확산모형의 모수, 특히 확산계수에 관계되는 모수의 추정에 있어서 그 성능이 좋지 못함이 지적되었다. 본 연구에서는 GMM의 이러한 단점을 개선하기 위한 대안적 방법들을 제시하고 그 통계적 성능을 시뮬레이션 연구를 통해서 비교하게 된다. 이런 과정을 통하여 제안되고 검토된 추정방법들 중, Shoji와 Ozaki (1998)가 제안한 국소선형근사법의 결과를 적용하여 GMM의 성능을 개선한 NGMM-Y 추정량이 매우 우수한 성질을 가지고 있음을 확인하게 된다. 특히 NGMM-Y 추정량은 확산계수에 관계된 모수의 추정에 있어서 비교대상이 된 다른 대안적 GMM 방법들에 비하여 우수한 성질을 가지고 있음을 확인하게 된다.

• Journal of the Korean Data and Information Science Society
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• 제24권4호
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• pp.877-883
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• 2013

The quadratic inference functions (QIF) method proposed by Qu et al. (2000) and the generalized method of moments (GMM) for marginal regression analysis of longitudinal data with time-dependent covariates proposed by Lai and Small (2007) both are the methods based on generalized method of moment (GMM) introduced by Hansen (1982) and both use generalized estimating equations (GEE). Lai and Small (2007) divided time-dependent covariates into three types such as: Type I, Type II and Type III. In this paper, we compared these methods in the case of Type II and Type III in which full covariates conditional mean assumption (FCCM) is violated and interested in whether they can improve the results of GEE with independence working correlation. We show that in the marginal regression model with Type II time-dependent covariates, GMM Type II of Lai and Small (2007) provides more ecient result than QIF and for the Type III time-dependent covariates, QIF with independence working correlation and GMM Type III methods provide the same results. Our simulation study showed the same results.

• Journal of the Korean Data and Information Science Society
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• 제25권1호
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• pp.211-218
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• 2014

Qu et. al. (2000) proposed the quadratic inference functions (QIF) method to marginal model analysis of longitudinal data to improve the generalized estimating equations (GEE). It yields a substantial improvement in efficiency for the estimators of regression parameters when the working correlation is misspecified. But for the longitudinal data with time-dependent covariates, when the implicit full covariates conditional mean (FCCM) assumption is violated, the QIF can not provide more consistent and efficient estimator than GEE (Cho and Dashnyam, 2013). Lai and Small (2007) divided time-dependent covariates into three types and proposed generalized method of moment (GMM) for longitudinal data with time-dependent covariates. They showed that their GMM type II and GMM moment selection methods can be more ecient than GEE with independence working correlation (GEE-ind) in the case of type II time-dependent covariates. We develop upgraded QIF method for type II time-dependent covariates. We show that this upgraded QIF method can provide substantial gains in efficiency over QIF and GEE-ind in the case of type II time-dependent covariates.

• 응용통계연구
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• 제24권6호
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• pp.1007-1020
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• 2011

현대금융공학에 있어서 확산모형은 중요한 역할을 담당하고 있다. 다양한 형태의 확산모형이 제안되어왔고 현실에 응용되어 왔다. 확산모형을 이용하여 금융자료를 분석하기 위하여는 확산모형의 모수를 추정하는 것이 필수불가결한 단계이다. 이들 모수에 대한 다양한 추정방법들이 제안되어 왔고, 많은 연구에서 이러한 추정방법들이 갖는 성질에 대하여 연구되어져왔다. 이 연구에서는 그 적용방법이 단순하여 가장 자주 사용되는 것으로 알려진, 오일러 근사법과 신국소근사법(NLL) 그리고 일반화 적률법(GMM)과 같은 세 가지 추정방법들에 대한 통계적 성질을 검토하게 될 것이다. 모의실험연구를 통하여 오일러근사법이나 NLL방법이 GMM 방법에 비하여 훨씬 좋은 성질을 가지고 있음을 보이게 된다. 특히 GMM은 적용방법이 단순할 뿐만 아니라 강건성(robustness)이라는 좋은 성질을 가지고 있는 것으로 알려져 있어서 많은 연구에서 매우 자주 사용되는 추정방법이다. 그러나 본 연구에서 확인해 본 바와 같이 GMM은 그 사용법이 오히려 더욱 단순한 NLL이나 오일러방법에 비하여 열등한 통계적 성질을 보여주고 있었다. 특히나 확산계수에 추정모수가 포함된 경우에 GMM은 매우 좋지 못한 성질을 보이게 된다.

• Journal of the Korean Data and Information Science Society
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• 제24권3호
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• pp.651-658
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• 2013

For the marginal model and generalized estimating equations (GEE) method there is important full covariates conditional mean (FCCM) assumption which is pointed out by Pepe and Anderson (1994). With longitudinal data with time-varying stochastic covariates, this assumption may not necessarily hold. If this assumption is violated, the biased estimates of regression coefficients may result. But if a diagonal working correlation matrix is used, irrespective of whether the assumption is violated, the resulting estimates are (nearly) unbiased (Pan et al., 2000).The quadratic inference functions (QIF) method proposed by Qu et al. (2000) is the method based on generalized method of moment (GMM) using GEE. The QIF yields a substantial improvement in efficiency for the estimator of ${\beta}$ when the working correlation is misspecified, and equal efficiency to the GEE when the working correlation is correct (Qu et al., 2000).In this paper, we interest in whether the QIF can improve the results of the GEE method in the case of FCCM is violated. We show that the QIF with exchangeable and AR(1) working correlation matrix cannot be consistent and asymptotically normal in this case. Also it may not be efficient than GEE with independence working correlation. Our simulation studies verify the result.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.45-52
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• 2021

The capital structure is one of the hot financial topics among researchers and scholars. Its importance comes from the fact that capital structure is closely related to companies' ability to meet different stakeholders' needs. A suitable capital structure will boost the business and create a competitive advantage in the context of fierce competition. Many companies choose an optimal debt level based on the trade-off between interest and debt costs. This study aimed to test the existence of trade-off theory in capital structure, the case of Vietnam's real estate companies, which are growing very fast recently. Instead of considering constant optimal leverage to test the trade-off model, we take advantage of the dynamic capital structure determined by growth opportunities, profitability, tax incentives, tangibility, liquidity, and firm size. The dynamic panel data regression was estimated by the system Generalized Method of Moment (Sys-GMM). The empirical evidence showed that real estate companies listed in the Vietnamese stock market might change their leverage toward a target capital structure determined by influential factors in a long-term perspective. In particular, the debt-to-asset ratio will change by approximately 14 percent, positively, in response to the difference between the current debt-to-asset ratio and the dynamic target debt-to-asset ratio.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.11-21
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• 2021

In the last few years, there is growing interest in the field of simultaneous equation estimation in finance due to the endogeneity problem caused by measurement errors, simultaneity, or omitted variables. This study aims to discuss the endogeneity problem in corporate financing decisions and investigate the interrelationship of financial decision-making such as investment decision, dividend decision, and external financing decision in Pakistan Stock Exchange (PSX) using two-stage least squares (2SLS) and generalized method of moment (GMM) estimation. The Bruech-Pagan test shows that the data has no heteroskedasticity issue and 2SLS is a better approach in the context of this study as compared to the GMM approach, and internal instruments are also sufficiently strong and valid. The three financial decision-making attributes are not jointly determined, and the dividend is influenced by one-sided investment. In the emerging stock market context, external financing and investment are not inter-related and did not affect each other. The question of whether the simultaneous equation estimation can be useful in the context of the emerging stock markets and newly-growing firms remains unanswered. The inclusive evidence shows that the theoretical link in the emerging stock market is difficult to prove like in developed stock markets.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.497-504
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• 2021

This extended study aims to analyze empirically the influence of firm diversification on firm performance moderated by the stages of the firm life cycle, which consists of introduction, growth, maturity, and decline. The target population of this study is the firms listed on the Indonesian Stock Exchange. The sampling method uses purposive sampling in the multi-business firm in Indonesia; it includes as many as 127 firms over the period from 2011 to 2017, totaling 889 firm-year observations. The firm performance is measured using a return of equity while the level of firm diversification with the minimum number of two operating segments is proxied by the Herfindahl index. The analysis method used in this study is the estimator model of the Generalized Method of Moment (GMM). The main findings show that the firm life cycle at the stage of growth and maturity significantly strengthens the influence of firm diversification on firm performance. On the other hand, the stage of decline fails to moderate the relationship between firm diversification and firm performance. This study discusses the implications and contributions of the findings theoretically, and provide some policy justifications for potential investors before they invest their money in the capital market.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.19-29
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• 2021

This study aims to measure financial inclusion and examine its impact on income inequality in a panel of 18 Asian countries over the period 1997-2017. Two alternative approaches for developing financial inclusion index are used: one approach following the methodology of Sarma (2008), while the other is the Dynamic Factor Model (DFM)-based index. The impact of individual indicators and index of financial inclusion on inequality in income is analyzed. The Generalized Method of Moment (GMM) approach is used for empirical analysis. The results indicate that micro-level financial inclusion has a weak negative and statistically significant impact on income inequality. Macro-level index and all individual indicators of financial inclusion do not affect income inequality in the selected sample of economies. The income inequality issues have different natures and cannot be fixed by financial inclusion only. It needs holistic structural reforms to enable fair distribution of income and make an equitable financial system. Financial inclusion is a relatively less important intervention tool regarding fixing the issue of income inequality. This is one of the first studies that used the DFM method for financial inclusion indices construction.

• The Journal of Asian Finance, Economics and Business
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• 제7권5호
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• pp.111-118
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• 2020

This paper examines the impacts of credit on income inequality in Vietnam. Though it is one of the most common measures of financial development, there is a dearth of research in this area. Unlike previous studies, the paper disaggregates the impact of each type of credit on income inequality, looking at the Gini coefficient. We employ the Generalized Method of Moment (GMM) to solve the endogenous problem. The primary data set contains a panel of 60 Provincial observations, from data collected from the General Statistics Office of Vietnam from 2002 to 2016. The empirical findings show that, while commercial credit increases income inequality, policy credit contributes to reducing income inequality in Vietnam. The results also confirm the important roles of education, institutional quality and foreign direct investment in fighting against income inequality in Vietnam. However, the paper does not provide adequate evidence to support the inverted U-shaped relationship between credit and income inequality. Based on the findings, we argue that the government should direct flows of credit to real economic activities rather than speculative investment; more bank credit should be allocated to rural areas and agriculture; and favorable credit programs should be designed to promote education, especially of those living in rural areas.