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Record Nr. |
UNINA9910824633103321 |
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Autore |
Hall Alastair R |
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Titolo |
Generalized method of moments [[electronic resource] /] / Alastair R. Hall |
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Pubbl/distr/stampa |
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Oxford ; ; New York, : Oxford University Press, 2005 |
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ISBN |
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1-383-03319-6 |
9786610965168 |
0-19-152511-1 |
1-280-96516-9 |
0-19-151393-8 |
1-4294-7047-X |
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Descrizione fisica |
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1 online resource (413 p.) |
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Collana |
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Advanced texts in econometrics |
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Disciplina |
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Soggetti |
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Moments method (Statistics) |
Econometric models |
Time-series analysis |
Estimation theory |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. 359-387) and indexes. |
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Nota di contenuto |
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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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Sommario/riassunto |
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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 Statistical Association;Overall, the book is well written, very readable and well organized. In each chapter the author conveys the |
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