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Generalized Method of Moments and Macroeconomics

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  • 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. 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.
  2. Lanne, Markku & Saikkonen, Pentti, 2009. "GMM Estimation with Noncausal Instruments," MPRA Paper 23649, University Library of Munich, Germany.
  3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
  4. Tsuchiya, Yoichi, 2012. "Evaluating Japanese corporate executives’ forecasts under an asymmetric loss function," Economics Letters, Elsevier, vol. 116(3), pages 601-603.
  5. Oleg Korenok & Stanislav Radchenko, 2004. "The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation," Departmental Working Papers 200413, Rutgers University, Department of Economics.
  6. 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.
  7. Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series 200905, Hamburg University, Department Wirtschaft und Politik.
  8. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  9. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  10. Daniel Kanda, 2006. "Credit Flows, Fiscal Policy, and the External Deficit of Bosnia and Herzegovina," IMF Working Papers 06/276, International Monetary Fund.
  11. Ming-Tao Chou & Ya - Ling Yang & Su-Chiung Chang, 2012. "A Study of the Dynamic Relationship between Crude Oil Price and the Steel Price Index," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 30-42, May.
  12. Fritsche, Ulrich, 2006. "Ergebnisse der ökonometrischen Untersuchung zum Forschungsprojekt Wirtschaftspolitische Regime westlicher Industrienationen," Working Papers 24, Institute of Management Berlin (IMB), Berlin School of Economics and Law.
  13. 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.
  14. 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.
  15. 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.
  16. 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.

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