TY  - BOOK
AU  - Florens,J.P.
AU  - Marimoutou,Vêlayoudom
AU  - Péguin-Feissolle,Anne
AU  - Perktold,Josef Franz
AU  - Carrasco,Marine
TI  - Econometric modeling and inference
T2  - Themes in modern econometrics
SN  - 9780511805592 (ebook)
AV  - HB141 .F5913 2007
U1  - 330.01/5195 22
PY  - 2007///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Econometric models
KW  - Econometrics
KW  - Economics
KW  - Mathematical models
N1  - Title from publisher's bibliographic system (viewed on 05 Oct 2015)
N2  - Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work
UR  - https://doi.org/10.1017/CBO9780511805592
ER  -