Generalized method of moments / Alastair R. Hall.
Material type: TextSeries: Advanced texts in econometricsPublisher: Oxford ; New York : Oxford University Press, 2005Description: xii, 400 pages : illustrations ; 24 cmContent type:- text
- unmediated
- volume
- 0198775210
- 9780198775218
- 0198775202
- 9780198775201
- 330.015195
- HB141 .H355 2005
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 |
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330.015195 GUJ Econometrics by example / | 330.015195 GUJ Basic econometrics / | 330.015195 GUJ Basic econometrics / | 330.015195 HAL Generalized method of moments / | 330.015195 HAL Understanding econometrics / | 330.015195 HAL Understanding econometrics / | 330.015195 HAL Understanding econometrics / |
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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