Generalized Method of Moments

ISBN-10: 0198775202
ISBN-13: 9780198775201
Edition: 2005
Authors: Alastair R. Hall
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Description: This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main  More...

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Book details

Copyright year: 2005
Publisher: Oxford University Press, Incorporated
Publication date: 3/3/2005
Binding: Paperback
Pages: 416
Size: 6.20" wide x 9.20" long x 1.00" tall
Weight: 0.638
Language: English

This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively and proved formally, and all the inference techniques are illustrated using empirical examples in macroeconomics and finance. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field.

Introduction
The instrumental variable estimator in the linear regression model
GMM estimation in correctly specified models
GMM estimation in misspecified models
Hypothesis testing
Asymptotic theory and finite sample behaviour
Moment selection in theory and in practice
Alternative approximations to finite sample behaviour
Empirical examples
Related methods of estimation
Mixing processes and nonstationarity

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