The generalized method of moments (GMM) estimation has emerged over the past decade as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume, the first devoted entirely to the GMM methodology, is to offer a complete and up to date presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia.
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Book Description
The generalized method of moments (GMM) estimation has emerged over the last decade as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume, the first devoted entirely to the GMM methodology, is to offer a complete and up to date presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia.
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4 of 15 people found the following review helpful:
4.0 out of 5 stars
A good book about a different way of estimation,
This review is from: Generalized Method of Moments Estimation (Themes in Modern Econometrics) (Paperback)
This book focus in a different method of econometric estimation. The information about this method is quite difficult to understand. This is a excellent aproximation to start to known about the generalized method of moments. I want to remark this book allows us to find a fantastic way to discover this method.
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Inside This Book
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First Sentence:
One of the most important tasks in econometrics and statistics is to find techniques enabling us to estimate, for a given data set, the unknown parameters of a specific model. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Econometrics, Journal of Business, Economic Statistics, New York, Review of Economic Studies, Handbook of Statistics, Econometric Theory, Handbook of Econometrics, Academic Press, Department of Economics, Journal of Monetary Economics, Basil Blackwell, Journal of Applied Econometrics, Nonlinear Econometric Models, The Econometrics of Panel Data, Cambridge University Press, Heteroskedastic Errors, International Economic Review, Journal of the American Statistical Association, North Carolina State University, Elsevier Science Publishers, Extensions of Standard, Journal of Finance, Journal of Political Economy New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
One of the most important tasks in econometrics and statistics is to find techniques enabling us to estimate, for a given data set, the unknown parameters of a specific model. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Econometrics, Journal of Business, Economic Statistics, New York, Review of Economic Studies, Handbook of Statistics, Econometric Theory, Handbook of Econometrics, Academic Press, Department of Economics, Journal of Monetary Economics, Basil Blackwell, Journal of Applied Econometrics, Nonlinear Econometric Models, The Econometrics of Panel Data, Cambridge University Press, Heteroskedastic Errors, International Economic Review, Journal of the American Statistical Association, North Carolina State University, Elsevier Science Publishers, Extensions of Standard, Journal of Finance, Journal of Political Economy New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 27
books:
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13
books
cite this book:
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- Generalized Method of Moments (Advanced Texts in Econometrics) by Alastair R. Hall on page 96, page 126, and page 146
- Nonlinear Statistical Models (Wiley Series in Probability and Statistics) by A. Ronald Gallant on page 60, page 94, and page 126
- The Econometrics of Panel Data (An Elgar Reference Collection) by G. S. Maddala on page 273, and page 274
- Nonlinear Models (International Library of Critical Writings in Econometrics Series, So2) by Herman J. Bierens on page 126, and page 273
- Advanced Econometrics by Takeshi Amemiya on page 29, and page 311
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- Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics) by Badi H. Baltagi on page 334, and page
- The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis by Garry D. A. Phillips in Back Matter (1), and Back Matter (2)
- Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg by Donald W. K. Andrews on page 244, and page 281
- Time Series Analysis by James Douglas Hamilton on page 432
- Proceedings of the Second Seattle Symposium in Biostatistics: Analysis of Correlated Data (Lecture Notes in Statistics) by Danyu Lin on page 104
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