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Generalized Method of Moments and Macroeconomics

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Author Info

  • Hansen, Bruce E
  • West, Kenneth D

Abstract

We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 20 (2002)
Issue (Month): 4 (October)
Pages: 460-69

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Handle: RePEc:bes:jnlbes:v:20:y:2002:i:4:p:460-69

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Cited by:
  1. Daniel Kanda, 2006. "Credit Flows, Fiscal Policy, and the External Deficit of Bosnia and Herzegovina," IMF Working Papers 06/276, International Monetary Fund.
  2. Stan Radchenko & Oleg Korenok, 2004. "The role of permanent and transitory components in business cycle volatility moderation," Econometric Society 2004 North American Summer Meetings 149, Econometric Society.
  3. Markku Lanne & Pentti Saikkonen, 2011. "GMM Estimation with Non‐causal Instruments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 581-592, October.
  4. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  5. Josef Arlt & Miroslav Plašil, 2005. "Empirical Testing of New Keynesian Phillips Curve in Conditions of the Czech Republic in 1994 - 2003," Prague Economic Papers, University of Economics, Prague, vol. 2005(2), pages 117-129.
  6. Ulf von Kalckreuth, 2003. "Exploring the role of uncertainty for corporate investment decisions in Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(II), pages 173-206, June.
  7. Travaglini, Guido, 2008. "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper 7108, University Library of Munich, Germany.
  8. Lee, Yoonsuk & Brorsen, B. Wade, 2012. "Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125001, Agricultural and Applied Economics Association.
  9. Chen, Song Xi & Cui, Hengjian, 2007. "On the second-order properties of empirical likelihood with moment restrictions," Journal of Econometrics, Elsevier, vol. 141(2), pages 492-516, December.
  10. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  11. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.

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