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Keywords: GMM
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Journal Articles
Journal Articles
Journal of Property Investment & Finance (2024) 42 (6): 576–590.
Published: 03 September 2024
... for U.S. Nareit indices returns. To obtain robust economic results, we correct for the problems of errors-in-variables in linear asset pricing models; we advocate the use of higher moments estimators as instruments in a generalized method of moments (GMM) framework. Findings Our results report...

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