Conditional Moment Estimation of Nonlinear Equation Systems

With an Application to an Oligopoly Model of Cooperative R&D

Joachim Inkmann (Autor)

Buch | Softcover

VIII, 214 Seiten

2000 | 1. Softcover reprint of the original 1st ed. 2001
Springer Berlin (Verlag)
978-3-540-41207-6 (ISBN)

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Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

1 Introduction.- I: Estimation Theory.- 2 The Conditional Moment Approach to GMM Estimation.- 3 Asymptotic Properties of GMM Estimators.- 4 Computation of GMM Estimators.- 5 Asymptotic Efficiency Bounds.- 6 Overidentifying Restrictions.- 7 GMM Estimation with Optimal Weights.- 8 GMM Estimation with Optimal Instruments.- 9 Monte Carlo Investigation.- II: Application.- 10 Theory of Cooperative R&D.- 11 Empirical Evidence on Cooperative R&D.- 12 Conclusion.- References.

Erscheint lt. Verlag	6.11.2000
Reihe/Serie	Lecture Notes in Economics and Mathematical Systems
Zusatzinfo	VIII, 214 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	352 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
Schlagworte	Conditional Moment Restrictions • Econometrics • Generalized Method of Moments (GMM) • Industrial Organization • Konditionale Momentenrestriktionen • Verallgemeinerte Momentenmethode
ISBN-10	3-540-41207-7 / 3540412077
ISBN-13	978-3-540-41207-6 / 9783540412076
Zustand	Neuware