Generalized method of moments /

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 Statisti...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hall, Alastair R.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; New York : Oxford University Press, 2005.
Colección:Advanced texts in econometrics.
Temas:
Moments method (Statistics)
Econometric models.
Time-series analysis.
Estimation theory.
Méthodes des moments (Statistique)
Modèles économétriques.
Série chronologique.
Théorie de l'estimation.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Statistics.
Econometric models
Estimation theory
Time-series analysis
Statistische methoden.
Schattingstheorie.
Afleiding (logica)
Tijdreeksen.
Econometria.
Inferência estatística.
Análise de séries temporais.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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