Generalized Method of Moments

Paperback | January 17, 2005

byAlastair R. Hall

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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.

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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 te...

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.
Format:PaperbackDimensions:416 pages, 9.21 × 6.14 × 0.91 inPublished:January 17, 2005Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198775202

ISBN - 13:9780198775201

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Table of Contents

1. Introduction2. The Instrumental Variable Estimator in the Linear Regression Model3. GMM Estimation in Correctly Specified Models4. GMM Estimation in Misspecified Models5. Hypothesis Testing6. Asymptotic Theory and Finite Sample Behaviour7. Moment Selection in Theory and in Practice8. Alternative Approximations in Finite Sample Behaviour9. Empirical Examples10. Related Methods of EstimationAppendix: Mixing processes and Nonstationarity