Pub. Date:
Cambridge University Press
Generalized Method of Moments Estimation

Generalized Method of Moments Estimation


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Product Details

ISBN-13: 9780521660136
Publisher: Cambridge University Press
Publication date: 08/28/2007
Series: Themes in Modern Econometrics Series
Pages: 328
Product dimensions: 5.98(w) x 8.98(h) x 0.87(d)

Table of Contents

Preface; 1. Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2. GMM estimation techniques Masao Ogaki; 3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey; 4. Hypothesis testing in models estimated by GMM Alastair R. Hall; 5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky; 6. GMM estimation of time series models David Harris; 7. Reduced rank regression using GMM Frank Kleibergen; 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt; 9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone; Index.

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