Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D

Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in—depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both...