| Description |
xii, 400 pages : illustrations, tables ; 24 cm |
| Series |
Advanced texts in econometrics |
|
Advanced texts in econometrics.
|
| Contents |
Contents; 1 Introduction; 2 The Instrumental Variable Estimator in the Linear Regression Model; 3 GMM Estimation in Correctly Specified Models; 4 GMM Estimation in Misspecified Models; 5 Hypothesis Testing; 6 Asymptotic Theory and Finite Sample Behaviour; 7 Moment Selection in Theory and in Practice; 8 Alternative Approximations to Finite Sample Behaviour; 9 Empirical Examples; 10 Related Methods of Estimation; Appendix A: Mixing Processes and Nonstationarity; Bibliography; Author Index; Subject Index |
| Summary |
"Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field. Providing a comprehensive treatment of GMM estimation and inference, this book is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macro-economics and finance |
|
Building from the instrumental variables estimator in static linear models, this book presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the over identifying restrictions text and tests of structural stability, and reviews the finite sample performance of these inference methods. It also discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrument asymptotics." -- BOOK JACKET |
| Bibliography |
Includes bibliographical references (pages 359-387) and indexes |
| Notes |
Print version record |
| Subject |
Moments method (Statistics)
|
|
Econometric models.
|
|
Time-series analysis.
|
|
Estimation theory.
|
| LC no. |
2005297434 |
| ISBN |
0198775210 hardback |
|
0198775202 paperback |
|
