Hall A. Generalized Method of Moments

(Холл А. Обобщенный метод моментов). — Oxford University Press, 2005. — 400 p.This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practitioners, this book provides a comprehensive treatment of G.M.M. estimation and inference. All the main statistical results are discussed intuitively and proved formally, and all the inference techniques are illustrated using empirical examples in macroeconomics and finance. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of G.M.M. statistical theory and a survey of recent important developments in the field. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.Монография представляет собой одну из лучших книг по обобщенному методу моментов - теме, занимающей в эконометрике центральное место наряду с линейной регрессией, анализом временных рядов и некоторыми другими разделами. В монографии представлено исчерпывающее рассмотрение GMM, что делает книгу в высшей степени полезной всем, кто так или иначе занимается эконометрикой.