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Generalized Method of Moments

Generalized Method of Moments

ISBN 9780198775201
Publisher Oxford University Press
Author(s)
Publication Date
Overview
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
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