Generalized Method of Moments is popular PDF and ePub book, written by Alastair R. Hall in 2005, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Generalized Method of Moments can be Read Online from any device for your convenience.
Generalized Method of Moments Book PDF Summary
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 recentimportant 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 empiricalexamples 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 andtests 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 instrumentasymptotics.
Detail Book of Generalized Method of Moments PDF
- Author : Alastair R. Hall
- Release : 29 September 2024
- Publisher : Oxford University Press
- ISBN : 9780198775218
- Genre : Business & Economics
- Total Page : 413 pages
- Language : English
- PDF File Size : 16,7 Mb
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