Generalized method of moments / by Hall, Alastair R.

Generalized method of moments / by Hall, Alastair R.

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Generalized method of moments estimation /

Generalized method of moments estimation /

Table of Contents: “…Introduction to the Generalized Method of Moments Estimation / David Harris and Laszlo Matyas -- 2. …”
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Econometrics /

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Econometric theory and methods / by Davidson, Russell

Table of Contents: “…Regression models -- The geometry of linear regression -- The statistical properties of ordinary least squares -- Hypothesis testing in linear regression models -- Confidence intervals -- Nonlinear regression -- Generalized least squares and related topics -- Instrumental variables estimation -- The generalized method of moments -- The method of maximum likehood -- Discrete and limited dependent variables -- Multivariate models -- Methods for stationary time-series data -- Unit roots and cointegration -- Testing the specificaiton of econometric models.…”

Econometric analysis of cross section and panel data / by Wooldridge, Jeffrey M., 1960-

Table of Contents: “…M-estimation ; Maximum likelihood methods ; Generalized method of moments and minimum distance estimation -- Nonlinear models and related topics. …”

Time series analysis / by Hamilton, James D. 1954-

Table of Contents: “…Difference equations -- Lag operators -- Stationary ARMA processes -- Forecasting -- Maximum likelihood estimation -- Spectral analysis -- Asymptotic distribution theory -- Linear regression models -- Linear systems of simultaneous equations -- Covariance-stationary vector processes -- Vector autoregressions -- Bayesian analysis -- The Kalman filter -- Generalized method of moments -- Models of sonstationary time series -- Processes with deterministic time trends -- Univariate processes with unit roots -- Unit roots in multivariate time series -- Cointegration -- Full-information maximum likelihood analysis of cointegrated systems -- Time series models of heteroskedasticity -- Modeling time series with changes in regime.…”
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Econometric analysis / by Greene, William H., 1951-

Table of Contents: “…Minimum Distance Estimation and the Generalized Method of Moments -- 14. Maximum Likelihood Estimation -- 15. …”

Time Series Analysis by Hamilton, James Douglas (1954- ).

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Analysis of panel data / by Hsiao, Cheng, 1943-

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Statistics for finance / by Lindström, Erik, Madsen, Henrik, Nielsen, Jan Nygaard

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The econometrics of financial markets / by Campbell, John Y., Lo, Andrew W., MacKinlay, Archie Craig, 1955-

Table of Contents: “…The predictability of asset returns -- Market microstructure -- Event-study analysis -- The capital asset pricing model -- Multifactor pricing models -- Present-value relations -- Intertemporal equilibrium models -- Derivative pricing models -- Fixed-income securities -- Term-structure models -- Nonlinearities in financial data -- Linear instrumental variables -- Generalized method of moments -- Serially correlated and heteroskedastic errors -- GMM and maximum likelihood.…”
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Time series and panel data econometrics / by Pesaran, M. Hashem, 1946-

Table of Contents: “…Part I Introduction to Econometrics -- 1 Relationship Between Two Variables -- 2 Multiple Regression -- 3 Hypothesis Testing in Regression Models -- 4 Heteroskedasticity -- 5 Autocorrelated Disturbances -- 6 Introduction to Dynamic Economic Modelling -- 7 Predictability of Asset Returns and the Efficient Market Hypothesis -- Part II Statistical Theory -- 8 Asymptotic Theory -- 9 Maximum Likelihood Estimation -- 10 Generalized Method of Moments -- 11 Model Selection and Testing Non-Nested Hypotheses -- Part III Stochastic Processes -- 12 Introduction to Stochastic Processes -- 13 Spectral Analysis -- Part IV Multivariate Time Series Models -- 14 Estimation of Stationary Time Series Processes -- 15 Unit Root Processes -- 16 Trend and Cycle Decomposition -- 17 Introduction to Forecasting -- 18 Measurement and Modelling of Volatility -- Part V Multivariate Time Series Models -- 19 Multivariate Analysis -- 20 Multivariate Rational Expectations Models -- Chapter 21 Vector Autoregressive Models -- Chapter 22 Cointegration Analysis -- Chapter 23 Varx Modelling -- Chapter 24 Impulse Response Analysis -- Chapter 25 Modelling the Conditional Correlation of Asset Returns -- Part VI Panel Data Econometrics -- Chapter 26 Panel Data Models with Strictly Exogenous Regressors -- Chapter 27 Short T Dynamic Panel Data Models -- Chapter 28 Large Heterogeneous Panel Data Models -- Chapter 29 Cross-Sectional Dependence in Panels -- Chapter 30 Spatial Panel Econometrics -- Chapter 31 Unit Roots and Cointegration in Panels -- Chapter 32 Aggregation of Large Panels -- Chapter 33 Theory and Practice of GVAR Modelling.…”
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Econometric analysis of cross section and panel data / by Wooldridge, Jeffrey M., 1960-

Table of Contents: “…Introduction -- Conditional expectations and related concepts in econometrics -- Basic asymptotic theory -- Single-equation linear model and ordinary least squares estimation -- Instrumental variables estimation of single-equation linear models -- Additional single-equation topics -- Estimating systems of equations by ordinary least squares and generalized least squares -- System estimation by instrumental variables -- Simultaneous equations models -- Basic linear unobserved effects panel data models -- More topics in linear unobserved effects models -- M-estimation, nonlinear regression, and quantile regression -- Maximum likelihood methods -- Generalized method of moments and minimum distance estimation -- Binary response models -- Multinomial and ordered response models -- Corner solution responses -- Count, fractional, and other nonnegative responses -- Censored data, sample selection, and attrition -- Stratified sampling and cluster sampling -- Estimating average treatment effects -- Duration analysis.…”

Nonstationary panels, panel cointegration, and dynamic panels /

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Nonstationary panels, panel cointegration, and dynamic panels /

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Breaking the curse of Sisyphus : an empirical analysis of post-conflict economic transitions / by Cevik, Serhan

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Understanding and managing interest rate risks / by Chen, Ren-Raw

Table of Contents: “…Maximum likelihood estimation. 5.3. Generalized method of moments. 5.4. State space model with Kalman filtering. 5.5. …”
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Non-Extensive Entropy Econometrics for Low Frequency Series : National Accounts-Based Inverse Problems / by Bwanakare, Second

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