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

Author: Joachim Inkmann
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2001.
Series: Lecture notes in economics and mathematical systems, 497.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Joachim Inkmann
ISBN: 9783642565717 3642565719
OCLC Number: 851824585
Description: 1 online resource (viii, 214 pages).
Contents: Introduction --
Estimation Theory: The Conditional Moment Approach to GMM Estimation --
Asymptotic Properties of GMM Estimators --
Computation of GMM Estimators --
Asymptotic Efficiency Bounds --
Overidentifying Restrictions --
GMM Estimation with Optimal Weights --
GMM Estimation with Optimal Instruments --
Monte Carlo Investigation --
Application: Theory of Cooperative R & D --
Empirical Evidence on Cooperative R & D --
Conclusion --
References.
Series Title: Lecture notes in economics and mathematical systems, 497.
Responsibility: by Joachim Inkmann.

Abstract:

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  Read more...

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