Generalized method of moments
By: Alastair R. Hall.
Series: Advanced texts in econometrics
Publisher: Oxford University Press
Published: 2005
Place of publication: Oxford; New York
Language: eng
Number of pages: 400
Subjects: Moments method (Statistics); Econometric models; Time-series analysis; Estimation theory
Description: "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 macroeconomics and finance." "This is a key text for graduate students in economics and statistics, and a valuable resource for researchers in academics, industry, and government."--BOOK JACKET.
Notes: Includes bibliographical references (p. 359-387) and indexes.