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Generalized Method of Moments Estimation

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  • Matyas,Laszlo

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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.

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Bibliographic Info

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This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521669672 and published in 1999.

Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521669672
Handle: RePEc:cup:cbooks:9780521669672

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Web page: http://www.cambridge.org

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Cited by:
  1. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation for Research in Economics, Yale University.
  2. Donald W.K. Andrews & Panle Jia, 2008. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Cowles Foundation Discussion Papers 1676, Cowles Foundation for Research in Economics, Yale University.

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