Generalized Method of Moments Estimation - Rilegato

Rilegato

ISBN 10: 0521660130 ISBN 13: 9780521660136

Casa editrice: Cambridge University Press, 1999

Riassunto

The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation.

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Descrizione del libro

The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. The book's contributors are well-known authorities in the field.

Contenuti

Preface; 1. Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2. GMM estimation techniques Masao Ogaki; 3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey; 4. Hypothesis testing in models estimated by GMM Alastair R. Hall; 5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky; 6. GMM estimation of time series models David Harris; 7. Reduced rank regression using GMM Frank Kleibergen; 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt; 9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone; Index.

Dettagli dell'edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 1999
• Lingua: Inglese
• ISBN 10: 0521660130
• ISBN 13: 9780521660136
• Rilegatura: Copertina rigida
• Numero di pagine: 332
• Redattore: Matyas Laszlo
• Contatto del produttore: non disponibile
• Persona responsabile: gpsr@libri.de; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Germania