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Generalized method of moments / Alastair R. Hall.
- Format:
- Book
- Author/Creator:
- Hall, Alastair R., author.
- Series:
- Advanced texts in econometrics.
- Oxford scholarship online.
- Advanced texts in econometrics
- Oxford scholarship online
- Language:
- English
- Subjects (All):
- Moments method (Statistics).
- Econometric models.
- Time-series analysis.
- Estimation theory.
- Physical Description:
- 1 online resource (413 p.)
- Place of Publication:
- Oxford : Oxford University Press, 2023.
- Language Note:
- English
- Summary:
- Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book provides an introduction to the method combined with a unified treatment of GMM statistical theory and a survey of the important developments in the field.
- Contents:
- 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; Appendix A: Mixing Processes and Nonstationarity; Bibliography; Author Index; Subject Index
- Notes:
- Previously issued in print: 2004.
- Includes bibliographical references (pages 359-387) and indexes.
- Derived record based on print version record and publisher information.
- ISBN:
- 1-383-03319-6
- 9786610965168
- 0-19-152511-1
- 1-280-96516-9
- 0-19-151393-8
- 1-4294-7047-X
- OCLC:
- 476260249
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