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.
This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively and proved formally, and all the inference techniques are illustrated using empirical examples in a macroeconomics and finance. 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.
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
Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham.
