Generalized Method Of Moments Estimation

Klappentext The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation. Zusammenfassung The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. The book's contributors are well-known authorities in the field. Inhaltsverzeichnis Preface; 1. Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2. GMM estimation techniques Masao Ogaki; 3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey; 4. Hypothesis testing in models estimated by GMM Alastair R. Hall; 5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky; 6. GMM estimation of time series models David Harris; 7. Reduced rank regression using GMM Frank Kleibergen; 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt; 9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone; Index.

Product details

• Authors: Laszlo Matyas
• Assisted by: Christian Gourieroux (Editor), Laszlo Matyas (Editor), Peter C. B. Phillips (Editor)
• Publisher: Cambridge University Press Academic
• Languages: English
• Product format: Hardback
• Released: 01.07.1999
• EAN: 9780521660136
• ISBN: 978-0-521-66013-6
• Dimensions: 157 mm x 234 mm x 20 mm
• Series: Themes in Modern Econometrics; Themes in Modern Econometrics
• Subject: Social sciences, law, business > Business > Miscellaneous