Generalized method of moments estimation / editor, László Mátyás.
Material type: TextSeries: Themes in modern econometricsPublisher: Cambridge : Cambridge University Press, 1999Description: 1 online resource (ix, 316 pages) : digital, PDF file(s)Content type:- text
- computer
- online resource
- 9780511625848 (ebook)
- 330/.01/5195 21
- HB141 .G463 1999
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
1. Introduction to the Generalized Method of Moments Estimation / David Harris and Laszlo Matyas -- 2. GMM Estimation Techniques / Masao Ogaki -- 3. Covariance Matrix Estimation / Matthew J. Cushing and Mary G. McGarvey.
9. Alternative GMM Methods for Nonlinear Panel Data Models / Jorg Breitung and Michael Lechner -- 10. Simulation Based Method of Moments / Roman Liesenfeld and Jorg Breitung.
7. Reduced Rank Regression Using GMM / Frank Kleibergen -- 8. Estimation of Linear Panel Data Models Using GMM / Seung C. Ahn and Peter Schmidt.
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.
11. Logically Inconsistent Limited Dependent Variables Models / J.S. Butler and Gabriel Picone.
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.
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