On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Comparison of rural and urban attitudes to the conservation of Asian elephants in Sri Lanka: empirical evidence

There has been little study of economic and general attitudes towards the conservation of the Asian elephant. This paper reports and analyses results from surveys conducted in Sri Lanka of attitudes of urban dwellers and farmers towards nature conservation in general and the elephant conservation in particular. The analyses are based on urban and a rural sample. Contingent valuation techniques are used as survey instruments. Multivariate logit regression analysis is used to analyse the respondents' attitudes towards conservation of elephants. It is found that, although some variations occurred between the samples, the majority of the respondents (both rural and urban) have positive attitudes towards nature conservation in general. However, marked differences in attitudes toward elephant conservation are evident between these two samples: the majority of urban respondents were in favour of elephant conservation; rural respondents expressed a mixture of positive and negative attitudes. Overall, considerable unrecorded and as yet unutilised economic support for conservation of wild elephants exists in Sri Lanka. (C) 2002 Elsevier Science Ltd. All rights reserved.