GENERALIZED METHOD OF MOMENTS

A.HALL

wydawnictwo: OXFORD , rok wydania 2005, wydanie I

cena netto: ~~210.00~~ Twoja cena 199,50 zł + 5% vat - dodaj do koszyka

The first book to provide an intuitive introduction to GMM combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field.

All the main statistical results are discussed intuitively as well as being proved formally. All the inference techniques are illustrated using empirical examples in macroeconomics and finance.

In addition to being an excellent graduate text, it is designed as a resource for both theoreticians and practitioners.

Table of Contents

1 Introduction
2 The Instrumental Variable Estimator in the Linear Regression Model
3 GMM Estimation in Correctly Specified Models
4 GMM Estimation in Misspecified Models
5 Hypothesis Testing
6 Asymptotic Theory and Finite Sample Behaviour
7 Moment Selection in Theory and in Practice
8 Alternative Approximations in Finite Sample Behaviour
9 Empirical Examples
10 Related Methods of Estimation
Appendix: Mixing processes and Nonstationarity

400 pages

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