Generalized method of moments

Description:

"Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field. Providing a comprehensive treatment of GMM estimation and inference, this book is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance." "This is a key text for graduate students in economics and statistics, and a valuable resource for researchers in academics, industry, and government."--BOOK JACKET.

subjects: Econometric models,  Estimation theory,  Moments method (Statistics),  Time-series analysis,  Moment spaces