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Generalized method of moments / Alastair R. Hall.

By: Material type: TextTextSeries: Advanced texts in econometricsPublisher: Oxford ; New York : Oxford University Press, 2005Description: xii, 400 pages : illustrations ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0198775210
  • 9780198775218
  • 0198775202
  • 9780198775201
Subject(s): DDC classification:
  • 330.015195
LOC classification:
  • HB141 .H355 2005
Contents:
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 to finite sample behaviour -- 9. Empirical examples -- 10. Related methods of estimation -- App. A. Mixing processes and nonstationarity.
Review: "Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. 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. Providing a comprehensive treatment of GMM estimation and inference, this book is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance." "This is a key text for graduate students in economics and statistics, and a valuable resource for researchers in academics, industry, and government."--BOOK JACKET.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 330.015195 HAL (Browse shelf(Opens below)) 1 Available A263822B

Includes bibliographical references (pages 359-387) and index.

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 to finite sample behaviour -- 9. Empirical examples -- 10. Related methods of estimation -- App. A. Mixing processes and nonstationarity.

"Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. 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. Providing a comprehensive treatment of GMM estimation and inference, this book is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance." "This is a key text for graduate students in economics and statistics, and a valuable resource for researchers in academics, industry, and government."--BOOK JACKET.

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