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  1. Home
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  3. Generalized Method of Moments Estimation
  • Cited by 53
  • Edited by Laszlo Matyas, Budapest University of Economic Sciences
Publisher:
Cambridge University Press
Online publication date:
February 2010
Print publication year:
1999
Online ISBN:
9780511625848
DOI:
https://doi.org/10.1017/CBO9780511625848
Subjects:
Economics, Mathematics, Econometrics and Mathematical Methods, Optimisation
Series:
Themes in Modern Econometrics
Information

Book description

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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