Generalized Method of Moments

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics. Rosario dell'Aquilla, Journal of the American Statistical Association Overall, the book is well written, very readable and well organized. In each chapter the author conveys the essential ideas at the beginning and the end of the chapter, and the reader is guided smoothly to the research frontier. Similarly, before stating new theorems and proving them, the author describes the basic ideas clearly, making the book very readable. Rosario dell'Aquilla, Journal of the American Statistical Association In summary, Generalized Method of Moments is an excellent and readable graduate text and reference book, especially suited for those researchers using GMM in a time series context in finance and macroeconomics. Rosario dell'Aquilla, Journal of the American Statistical Association Gerneralized Method of Moments is a highly readable textbook level introduction to the vast literature on GMM for the time series. It is a welcome edition not only the the Advanced Texts in Econometrics series published by Oxford University Press, but also to the list of textbooks suitablefor use in a graduate course in time series econometrics. Michael Jansson, Journal of Economic Literature The book can be highly recommended to all who are either interested in the statistical properties of GMM estimators as well as to those who intend to use this technique for empirical research. Herbert Buscher, Zentralblatt MATH 1076