Abstract
In this chapter we investigate to what extent the structural model developed in Section 3.3 can account for the observed joint dynamics of return and trading volume. We use the Efficient Method of Moment (EMM) estimator proposed by Bansal, Gallant, Hussey and Tauchen [5] and Gallant and Tauchen [34] to address this question. The EMM estimator provides a systematic way of developing moment conditions for estimation by simulation: It uses the score function of an auxiliary model, called the score generator, to define a criterion function for the Generalized Method of Moments (GMM) estimation (Hansen [39]).
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© 1998 Springer-Verlag Berlin Heidelberg
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Hsu, C. (1998). Testing the Structural Model. In: Volume and the Nonlinear Dynamics of Stock Returns. Lecture Notes in Economics and Mathematical Systems, vol 457. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-45765-4_6
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DOI: https://doi.org/10.1007/978-3-642-45765-4_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-63672-4
Online ISBN: 978-3-642-45765-4
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