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Item Details
Title: GENERALIZED METHOD OF MOMENTS ESTIMATION
By: Laszlo Matyas (Editor), Peter C. B. Phillips, Eric Ghysels
Format: Hardback

List price: £99.00
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ISBN 10: 0521660130
ISBN 13: 9780521660136
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Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 13 April, 1999
Series: Themes in Modern Econometrics No.5
Pages: 332
Description: The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation.
Synopsis: 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.
Illustrations: 14 tables
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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ESSAYS IN ECONOMETRICS: VOLUME 1, SPECTRAL ANALYSIS, SEASONALITY, NONLINEARITY, METHODOLOGY, AND FORECASTING
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INTRODUCTION TO THE MATHEMATICAL AND STATISTICAL FOUNDATIONS OF ECONOMETRICS (PB)
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