Generalized Method of Moments Estimation
Cambridge University Press (Verlag)
978-0-521-66967-2 (ISBN)
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Preface; 1. Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2. GMM estimation techniques Masao Ogaki; 3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey; 4. Hypothesis testing in models estimated by GMM Alastair R. Hall; 5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky; 6. GMM estimation of time series models David Harris; 7. Reduced rank regression using GMM Frank Kleibergen; 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt; 9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone; Index.
| Erscheint lt. Verlag | 13.4.1999 |
|---|---|
| Reihe/Serie | Themes in Modern Econometrics |
| Zusatzinfo | 14 Tables, unspecified |
| Verlagsort | Cambridge |
| Sprache | englisch |
| Maße | 152 x 228 mm |
| Gewicht | 435 g |
| Themenwelt | Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie |
| ISBN-10 | 0-521-66967-7 / 0521669677 |
| ISBN-13 | 978-0-521-66967-2 / 9780521669672 |
| Zustand | Neuware |
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