Generalized method of moments estimation

Author(s)

• Mátyás, László

Bibliographic Information

Generalized method of moments estimation

László Mátyás, editor

（Themes in modern econometrics）

Cambridge University Press, 1999

• : hard
• : pbk

Note

Includes bibliographical references and index

Description and Table of Contents

Description

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.

Table of Contents

• Preface
• 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
• 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
• 7. Reduced rank regression using GMM Frank Kleibergen
• 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt
• 9. Alternative GMM methods for nonlinear panel data models Joerg Breitung and Michael Lechner
• 10. Simulation based method of moments Roman Liesenfeld and Joerg Breitung
• 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone
• Index.

by "Nielsen BookData"

Details

• NCID: BA41923351
• ISBN:
  • 0521660130
  • 0521669677
• LCCN: 98051529
• Country Code: uk
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Cambridge ; New York
• Pages/Volumes: ix, 316 p.
• Size: 24 cm
• Classification:
  • NDC9 : 331.19
  • LCC : HB141
  • DC21 : 330/.01/5195
• Subject Headings:
  • LCSH : Econometric models
  • LCSH : Moments method (Statistics)
  • LCSH : Estimation theory
• Parent Bibliography ID:
  • BA26056911