Generalized Method of Moments

Informationen zum Autor Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham. Zusammenfassung Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book provides an introduction to the method combined with a unified treatment of GMM statistical theory and a survey of the important developments in the field. 1. Introduction; 2. The Instrumental Variable Estimator in the Linear Regression Model; 3. GMM Estimation in Correctly Specified Models; 4. GMM Estimation in Misspecified Models; 5. Hypothesis Testing; 6. Asymptotic Theory and Finite Sample Behaviour; 7. Moment Selection in Theory and in Practice; 8. Alternative Approximations in Finite Sample Behaviour; 9. Empirical Examples; 10. Related Methods of Estimation; Appendix: Mixing processes and Nonstationarity

Product details

• Authors: Alastair Hall, Alastair R. Hall, Alastair R. (North Carolina State University Hall, Alastair R. (North Carolina State University) Hall, Hall Alastair R.
• Publisher: Oxford University Press
• Languages: English
• Product format: Hardback
• Released: 01.09.2004
• EAN: 9780198775218
• ISBN: 978-0-19-877521-8
• No. of pages: 416
• Series: Advanced Texts in Econometrics; Advanced Texts in Econometrics
• Subjects: Social sciences, law, business > Business > General, dictionaries; MATHEMATICS / Probability & Statistics / General, BUSINESS & ECONOMICS / Econometrics, BUSINESS & ECONOMICS / Business Mathematics, Economic statistics, Probability & statistics, Business mathematics & systems, Probability and statistics, Econometrics and economic statistics, Business mathematics and systems