Generalized method of moments estimation

TitleGeneralized method of moments estimation
Publication TypeMiscellaneous
Year1999
AuthorsMátyás, L.
Languageeng
ISBN Number0521660130 (cloth); 0521669677 (pbk)
Abstract

Eleven papers present the theory of generalized method-of-moments estimation and address their use in empirical econometric studies. Covers an introduction to generalized method-of-moments (GMM) estimation; GMM estimation techniques; covariance matrix estimation; hypothesis testing in models estimated by GMM; finite sample properties of GMM estimators and tests; GMM estimation of time series models; reduced rank regression using GMM; estimation of linear panel-data models using GMM; alternative GMM methods for nonlinear panel-data models; simulation-based method of moments; and logically inconsistent limited-dependent-variables models. Matyas is at Budapest University of Economics. Index.