Generalized Method of Moments

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9780198775201: Generalized Method of Moments

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 recent important 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 empirical examples 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.

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Book Description:

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 author describes the basic ideas clearly, making the book very readable. ( Rosario dell'Aquilla, Journal of the American Statistical Association)

In summary, Generalized Method of Moments is an excellent and readable graduate text and reference book, especially suited for those researchers using GMM in a time series context in finance and macroeconomics. ( Rosario dell'Aquilla, Journal of the American Statistical Association)

Gerneralized Method of Moments is a highly readable textbook level introduction to the vast literature on GMM for the time series. It is a welcome edition not only the the Advanced Texts in Econometrics series published by Oxford University Press, but also to the list of textbooks suitablefor use in a graduate course in time series econometrics. ( Michael Jansson, Journal of Economic Literature)

The book can be highly recommended to all who are either interested in the statistical properties of GMM estimators as well as to those who intend to use this technique for empirical research. ( Herbert Buscher, Zentralblatt MATH 1076)

About the Author:

Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham.

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Hall, Alastair R.
Editore: Oxford University Press, USA (2005)
ISBN 10: 0198775202 ISBN 13: 9780198775201
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Descrizione libro Oxford University Press, USA, 2005. Paperback. Condizione libro: New. Codice libro della libreria SONG0198775202

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Hall, Alastair R.
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ISBN 10: 0198775202 ISBN 13: 9780198775201
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Descrizione libro Oxford University Press, United Kingdom, 2005. Paperback. Condizione libro: New. 232 x 156 mm. Language: English . Brand New Book. This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively and proved formally, and all the inference techniques are illustrated using empirical examples in macroeconomics and finance. 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 recent important developments in the field. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. Codice libro della libreria AAC9780198775201

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Descrizione libro Oxford University Press. PAPERBACK. Condizione libro: New. 0198775202 Brand New Book. Ships from the United States. 30 Day Satisfaction Guarantee!. Codice libro della libreria 4749584

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Hall, Alastair R.
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ISBN 10: 0198775202 ISBN 13: 9780198775201
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Descrizione libro Oxford University Press, United Kingdom, 2005. Paperback. Condizione libro: New. 232 x 156 mm. Language: English . Brand New Book. This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of GMM estimation and inference. All the main statistical results are discussed intuitively and proved formally, and all the inference techniques are illustrated using empirical examples in macroeconomics and finance. 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 recent important developments in the field. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. Codice libro della libreria AAC9780198775201

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Hall, Alastair R.
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Descrizione libro Oxford Univ Pr, 2005. Paperback. Condizione libro: Brand New. illustrated edition. 408 pages. 9.20x6.20x1.00 inches. In Stock. Codice libro della libreria zk0198775202

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Descrizione libro Oxford University Press, USA, 2005. Paperback. Condizione libro: New. Codice libro della libreria DADAX0198775202

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Descrizione libro Oxford University Press, 2005. Condizione libro: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: This book has become one of the main statistical tools for the analysis of economic and financial data. Codice libro della libreria ABE_book_new_0198775202

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Descrizione libro Oxford University Press, 2005. Paperback. Condizione libro: New. book. Codice libro della libreria 0198775202

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Descrizione libro Oxford University Press, 2005. Paperback. Condizione libro: New. Codice libro della libreria P110198775202

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