Generalized Method of Moments Estimation

doi:10.1017/CBO9780511625848

The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. 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. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

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Contents

Frontmatter
pp i-ii
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Contents
pp iii-x
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Contributors
pp xi-xii
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Preface
pp 1-2
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1 - Introduction to the Generalized Method of Moments Estimation
pp 3-30
- By David Harris, László Mátyás
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2 - GMM Estimation Techniques
pp 31-62
- By Masao Ogaki
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3 - Covariance Matrix Estimation
pp 63-95
- By Matthew J. Cushing, Mary G. McGarvey
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4 - Hypothesis Testing in Models Estimated by GMM
pp 96-127
- By Alastair R. Hall
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5 - Finite Sample Properties of GMM estimators and Tests
pp 128-148
- By Jan M. Podivinsky
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6 - GMM Estimation of Time Series Models
pp 149-170
- By David Harris
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7 - Reduced Rank Regression Using GMM
pp 171-210
- By Frank Kleibergen
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8 - Estimation of Linear Panel Data Models Using GMM
pp 211-247
- By Seung C. Ahn, Peter Schmidt
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9 - Alternative GMM Methods for Nonlinear Panel Data Models
pp 248-274
- By Jörg Breitung, Michael Lechner
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10 - Simulation Based Method of Moments
pp 275-300
- By Roman Liesenfeld, Jörg Breitung
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11 - Logically Inconsistent Limited Dependent Variables Models
pp 301-312
- By J. S. Butler, Gabriel Picone
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Index
pp 313-316
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Generalized Method of Moments Estimation

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Contents

Frontmatter
pp i-ii

Contents
pp iii-x

Contributors
pp xi-xii

Preface
pp 1-2

1 - Introduction to the Generalized Method of Moments Estimation
pp 3-30

2 - GMM Estimation Techniques
pp 31-62

3 - Covariance Matrix Estimation
pp 63-95

4 - Hypothesis Testing in Models Estimated by GMM
pp 96-127

5 - Finite Sample Properties of GMM estimators and Tests
pp 128-148

6 - GMM Estimation of Time Series Models
pp 149-170

7 - Reduced Rank Regression Using GMM
pp 171-210

8 - Estimation of Linear Panel Data Models Using GMM
pp 211-247

9 - Alternative GMM Methods for Nonlinear Panel Data Models
pp 248-274

10 - Simulation Based Method of Moments
pp 275-300

11 - Logically Inconsistent Limited Dependent Variables Models
pp 301-312

Index
pp 313-316

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