Generalized Method of Moments Estimation

Authors:
  • DHDavid Harris
    David Harris
  • MOMasao Ogaki
    Masao Ogaki
  • MCMatthew J. Cushing
    Matthew J. Cushing
  • MMMary G. McGarvey
    Mary G. McGarvey
  • AHAlastair R. Hall
    Alastair R. Hall
  • JPJan M. Podivinsky
    Jan M. Podivinsky
  • FKFrank Kleibergen
    Frank Kleibergen
  • SASeung C. Ahn
    Seung C. Ahn
  • PSPeter Schmidt
    Peter Schmidt
  • JBJörg Breitung
    Jörg Breitung
  • MLMichael Lechner
    Michael Lechner
  • RLRoman Liesenfeld
    Roman Liesenfeld
Editor:
  • LMLaszlo Matyas
    Laszlo Matyas
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Abstract
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.