TY  - BOOK
AU  - Mátyás,László
TI  - Generalized method of moments estimation
T2  - Themes in modern econometrics
SN  - 9780511625848 (ebook)
AV  - HB141 .G463 1999
U1  - 330/.01/5195 21
PY  - 1999///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Econometric models
KW  - Moments method (Statistics)
KW  - Estimation theory
N1  - 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
N2  - 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
UR  - https://doi.org/10.1017/CBO9780511625848
ER  -