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Generalized Method of Moments
Alastair R. Hall
出版Oxford University Press, 2005
主題Business & Economics / EconometricsBusiness & Economics / StatisticsBusiness & Economics / Economics / GeneralBusiness & Economics / Business MathematicsMathematics / Probability & Statistics / GeneralScience / Life Sciences / Botany
ISBN01987752109780198775218
URLhttp://books.google.com.hk/books?id=8YkSDAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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 recentimportant developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it 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 empiricalexamples in macroeconomics and finance.Building from the instrumental variables estimator in static linear models, it 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 overidentifying restrictions test andtests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrumentasymptotics.