Generalized Method of Moments

Name: Generalized Method of Moments
Price: 78.56 USD
Availability: InStock
ISBN: 9780198775201

ISBN-10: 0198775202

ISBN-13: 9780198775201

Edition: 2005

Authors: Alastair R. Hall

List price: $105.00

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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 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.

Book details

List price: $105.00
Copyright year: 2005
Publisher: Oxford University Press, Incorporated
Publication date: 3/3/2005
Binding: Paperback
Pages: 416
Size: 6.14" wide x 9.21" long x 0.91" tall
Weight: 1.386
Language: English




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