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st: Out-of-sample results OLS vs. GMM
This question is more related to research than to STATA. However, since many
STATALISTER are familar with xtabond2-related research maybe somebody can
Comparing OLS and GMM after out-of-sample prediction for a dynamic model, my
result is, that prediction based on OLS dominates the prediction based on
GMM. This result surprised me, since the OLS estimator is biased in a
dynamic setting if residuals are autocorrelated.
However, empirical work usually only compares the data fit of OLS and GMM
based on in-sample estimation (see Arellano/Bond for instance). I could not
find empirical results on out-of-sample results.
My question is: Can anybody cite me some sources that deal with
out-of-sample prediction comparison based on OLS and GMM estimator?
Thanks in advance
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