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Generalized Method of Moments Estimation : Themes in Modern Econometrics - Laszlo Matyas

Generalized Method of Moments Estimation

Themes in Modern Econometrics

By: Laszlo Matyas (Editor)

Paperback Published: 30th August 1999
ISBN: 9780521669672
Number Of Pages: 332

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The generalized method of moments (GMM) estimation has emerged over the last decade 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, the first devoted entirely to the GMM methodology, is to offer a complete and up to date 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.

Introduction to the generalized method of moments estimation David Harris and Làszlò Màtyàs
GMM estimation techniques Masao Ogaki
Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey
Hypothesis testing in models estimated by GMM Alastair R. Hall
Finite sample properties of GMM estimators and tests Jan M. Podivinsky
GMM estimation of time series models David Harris
Reduced rank regression using GMM Frank Kleibergen
Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt
Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner
Simulation based method of moments Roman Liesenfeld and Jörg Breitung
Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521669672
ISBN-10: 0521669677
Series: Themes in Modern Econometrics
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 332
Published: 30th August 1999
Country of Publication: GB
Dimensions (cm): 22.63 x 15.11  x 1.45
Weight (kg): 0.44

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