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Generalized method of moments

Author: Alastair R Hall
Publisher: Oxford ; New York : Oxford University Press, 2005.
Series: Advanced texts in econometrics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics. - Rosario dell'Aquilla, Journal of the American Statistical Association;Overall, the book is well written, very readable and well organized. In each chapter the author conveys the  Read more...
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Genre/Form: Ressources Internet
Livre électronique (Descripteur de forme)
Ressource Internet (Descripteur de forme)
Additional Physical Format: Print version:
Hall, Alastair R.
Generalized method of moments.
Oxford ; New York : Oxford University Press, 2005
(DLC) 2005297434
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Alastair R Hall
OCLC Number: 300405434
Notes: Titre de l'écran-titre (visionné le 3 oct. 2008).
Description: 1 online resource (xii, 400 p.) : ill., tables.
Contents: 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 to Finite Sample Behaviour; 9 Empirical Examples; 10 Related Methods of Estimation; Appendix A: Mixing Processes and Nonstationarity; Bibliography; Author Index; Subject Index.
Series Title: Advanced texts in econometrics.
Responsibility: Alastair R. Hall.

Abstract:

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics. - Rosario dell'Aquilla, Journal of the American Statistical Association;Overall, the book is well written, very readable and well organized. In each chapter the author conveys the essential ideas at the beginning and the end of the chapter, and the reader is guided smoothly to the research frontier. Similarly, before stating new theorems and proving them, the auth.

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