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Books > Business & Economics > Economics > Econometrics > Economic statistics
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Generalized Method of Moments (Hardcover)
Loot Price: R2,367
Discovery Miles 23 670
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Generalized Method of Moments (Hardcover)
Series: Advanced Texts in Econometrics
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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, 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
empirical examples 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 and tests 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 instrument asymptotics.
General
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