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基本説明
A comprehensive treatment of GMM estimation and inference using empirical examples in macroeconomics and finance.
Full Description
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 Series
Advanced 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.
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 in Finite Sample Behaviour ; 9. Empirical Examples ; 10. Related Methods of Estimation ; Appendix: Mixing processes and Nonstationarity
