Generalized Method of Moments (Advanced Texts in Econometrics)

Book Description

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 GMM 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 GMM statistical theory and a survey of recent important
developments in the field.

Generalized Method of Moments Estimation (Themes in Modern Econometrics)

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A good book about a different way of estimation

Generalized Method of Moments Estimation (Themes in Modern Econometrics)
L^D'aszl^D'o M^D'aty^D'as
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0521669677

Book Description

The generalized method of moments (GMM) estimation has emerged over the past decade 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, the first devoted entirely to the GMM methodology, is to offer a complete and up to date 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.

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A good book about a different way of estimation.......2000-05-09

This book focus in a different method of econometric estimation. The information about this method is quite difficult to understand. This is a excellent aproximation to start to known about the generalized method of moments. I want to remark this book allows us to find a fantastic way to discover this method.

Asymptotic inference from multi-stage samples [An article from: Journal of Econometrics]

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Asymptotic inference from multi-stage samples [An article from: Journal of Econometrics]
D. Bhattacharya
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR4782

Book Description

This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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I develop a GMM-based framework for asymptotic inference to analyze data from surveys whose designs involve stratification and clustering. I set up the estimation problem, derive the appropriate asymptotic distribution theory as the number of clusters per stratum tends to infinity and compute asymptotic standard errors that are robust to sample-design effects. The analysis is then extended to nonparametric regression and to semiparametric estimation based on U-processes. Empirical illustrations are provided using consumption expenditure data from the complexly designed Indian national household survey.

Determinants of productivity per employee: An empirical estimation using panel data [An article from: Economics Letters]

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Determinants of productivity per employee: An empirical estimation using panel data [An article from: Economics Letters]
N. Belorgey , R. Lecat , and T.P. Maury
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR9FES

Book Description

This digital document is a journal article from Economics Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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Over several panels of countries, this article studies the determinants of per employee productivity first in growth rate, using the generalised method of moments and focusing on the role of ICT, then in level, using more structural determinants.

Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach [An article from: Journal of Monetary Economics]

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Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach [An article from: Journal of Monetary Economics]
J. Linde
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR7PF4

Book Description

This digital document is a journal article from Journal of Monetary Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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The New-Keynesian Phillips curve has recently become an important ingredient in monetary policy models. However, using limited information methods, the empirical support for the New-Keynesian Phillips curve appear to be mixed. This paper argues, by means of Monte Carlo simulations with a simple New-Keynesian sticky price model, that single equations methods, e.g. GMM, are likely to produce imprecise and biased estimates. Then, it is argued that estimating the model with full information maximum likelihood (FIML) is a useful way of obtaining better estimates. Finally, a version of the model used in the Monte Carlo simulations is estimated on U.S. data with FIML and although the pure forward-looking New-Keynesian Phillips curve is rejected, a version with both forward- and backward-looking components provides a reasonable approximation of U.S. inflation dynamics.

Estimation of a panel data model with parametric temporal variation in individual effects [An article from: Journal of Econometrics]

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Estimation of a panel data model with parametric temporal variation in individual effects [An article from: Journal of Econometrics]
C. Han , L. Orea , and P. Schmidt
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR478M

Book Description

This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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This paper is an extension of Ahn et al. (J. Econom. 101 (2001) 219) to allow a parametric function for time-varying coefficients of the individual effects. It provides a fixed-effect treatment of models like those proposed by Kumbhakar (J. Econom. 46 (1990) 201) and Battese and Coelli (J. Prod. Anal. 3 (1992) 153). We present a number of GMM estimators based on different sets of assumptions. Least squares has unusual properties: its consistency requires white noise errors, and given white noise errors it is less efficient than a GMM estimator. We apply this model to the measurement of the cost efficiency of Spanish savings banks.

A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits [An article from: Pacific-Basin Finance Journal]

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A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits [An article from: Pacific-Basin Finance Journal]
K. Wei , and R. Chiang
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000RQZVL0

Book Description

This digital document is a journal article from Pacific-Basin Finance Journal, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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In this paper, we derive a generalized method of moments (GMM) estimator for variance in markets with daily price limits. We compare the GMM estimator with the maximum likelihood (ML) estimator and three ad hoc estimators used in the literature. All three ad hoc estimators are downward-biased. Furthermore, when the normality assumption is violated, the ML estimator becomes biased. Simulation results confirm our theoretical predictions. Given the evidence that daily returns are non-normal for most financial assets and the fact that the GMM estimator is much simpler than the ML estimator to implement, it is recommended that the GMM estimator be used in real applications. Finally, the extension of the GMM estimator to regression models is also discussed. We find that the GMM estimator for regression models is equivalent to the instrumental-variables (IV) estimator.

A local generalized method of moments estimator [An article from: Economics Letters]

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A local generalized method of moments estimator [An article from: Economics Letters]
A. Lewbel
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000PDSAPO

Book Description

This digital document is a journal article from Economics Letters, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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A local Generalized Method of Moments Estimator is proposed for nonparametrically estimating unknown functions that are defined by conditional moment restrictions.

Consistent moment selection procedures for generalized method of moments estimation (Cowles Foundation discussion papers)

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Consistent moment selection procedures for generalized method of moments estimation (Cowles Foundation discussion papers)
Donald W. K Andrews
Manufacturer: Cowles Foundation for Research in Economics
ProductGroup: Book
Binding: Unknown Binding

Generalized Method of Moments Estimation

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Generalized Method of Moments Estimation
Laszlo Matyas
Manufacturer: CAMBRIDGE UNIV*@ PRESS
ProductGroup: Book
Binding: Paperback
ASIN: B000N7FJYC

Book Description

Recorded history is a finely-woven magic fabric of intricate lies about events predating the sixteenth century. There is not a single piece of evidence that can be reliably and independently traced back earlier than the eleventh century. This book details events that are substantiated by hard facts and logic, and validated by new astronomical research and statistical analysis of ancient sources.

Customer Reviews:

Calculations are only as good as your numbers.......2007-08-03

Yes, we can all agree that mainstream history is nearly 100% BS due to politics, economics, ego, problems with dating techniques, and various conspiracies. Agreed. But, I've been researching the distinct possibility that human history (in terms of civilizations) are much more ancient than we've been told, so coming across this book was very interesting to me. I wondered how Fomenko could be wrong (if at all) because he is very persuasive in his presentations. Then it dawned on me. If at previous times in prehistory, due to the various catastrophies that are well documented (comets, asteroids, planetary disruptions, plasma discharge, pole reversals, etc) the Earth was in a different position in relation to the sun, different tilt on its axis, different orbit, different rotation (in terms of velocity and DIRECTION), and the continents were in different positions, then would this not cause the ancients to see the sky (constellations) differently? In other words, is Fomenko making erronious assumptions about the physics of the Earth in pre-history, which then corrupt his data with regards to dating the relevant astrology? The last event to seriously disrupt our planet occured roughly 3500 years ago, according to other good researchers, so is it possible Fomenko has been confused by this? The vastly different physics of our planet in the not so distant past may explain this confusion, which is not to say the "mainstream" version of history is correct; on the contrary. I am not an expert in these fields, but wanted to see if this idea could spark discussion.

Pants on fire?.......2007-07-19

Will people ever read before spamming? Yes, Jesuits could not rewrite world history alone, they had help. Anyway, Dr Prof Acad A.Fomenko does not point to jesuits as the driving force of world wide history manipulation in published volumes 1,2,3;, actually he barely mentions the poor devils. Check it with 'Search inside' feature, please. China is rarely mentioned either, in fact, Dr Fomenko is completely eurocentric. Right, his theory contradicts all mainstream schools of history, because in their actual state they are all built on blatantly erroneus chronology. You don't need a mysterious cabal (conspiracy) to falsify history, the falsification is its modus operandi. It is inherent to history(ians) to falsify (distort) events, as it is inherent to humans to boast as it is inherent to power (authority) to legimize itself by referrring to glorious past made to its own order. Dr Prof Fomenko and team have identified scores of instances of such manipulation in Russian, European, etc.. history, and delivered valid statistical proof thereof. His own 'reconstruction' is completely another story. Forget c14 as a valid method of dating. W.Libby has initially discovered a brilliant method of INDEPENDENT dating. Too bad, c14 method has become a joke after a forced marrige with dendrochronology with consensual chronological scale inbuilt. Radiocarbon method can't stand blind tests, but is so very productive as a rubberstamp.

Accepted History & Chronology Must Be Changed. .......2007-04-09

There is no doubt that history as most know it is a sham, & institution's version of History both University & Church is fradulent & inaccurate. Everything was established with an agenda, The real "Dark Ages" are now when we have access to incredible amounts of information past authorities & more important 'common folk' didn't have but our institutions & educators are slow to evolve because of what has ignorantly & arrogantly been taught for too long. This is on many subjects not just Chronology.

For anyone to question "Why would a Mathematician have anything credible to say of History?" The answer is from Dr. Fomenko's preface in the book: "It would be worthwhile to remind the reader that in the XVI-XVII century Chronology was considered to be a subdivision of Mathematics." These volumes could possibly be some of the most important works to date & should be read by everyone with an interest in History, especially professors & educators who have a duty to the public. I have read both books & must say that 'Chronology 1' has some very eye opening & revolutionary information. Even if these volumes are part true the implications are profound & opens the doors to further investigations & questions which must be done. I speak several different lanquages & must say the logic Dr. Fomenko uses with "inflection" of words & words being read from left to right in one region & right to left in another then written backwards, the removal of vowels & get down to basics of words, or different cities & locations having the same name etc. is correct. Vowel usage has always been optional & varied, actually complicating linquistics & study. The first thing one has to understand is that words never had a fixed spelling in history like we do now, the spelling of words was mutable & regional, as well as names & titles of people were vast, varied & changed, NOTHING WAS FIXED or understood linear. Matters of Life & Death as well as financial profiteering yesterday & today were & are made with ignorant, illogical & conspiratorial views of history & reality, it's time people get closer to the Truth & society collectively grow up.

Very Interesting.......2007-03-07

It is a good proposal and I believe it will mature into something even better in the future. I think it deserves to be read.

History as Science Fiction.......2007-01-10

Anatoly Fomenko has written a very intriguing book, full of pictures, charts, and computer 'proof' of his thesis: backwards of AD900 we don't really know what happened or when. Between AD900 and AD1600 there is more certainty, but there is still a lot of fuzzy ground, and things don't get reliable until we get past the 1600's where the printing press made it very difficult for the perpetrators of this timeline manipulation to change anything that had been committed to print. The Dark Ages did not happen. Books were burned for a reason. One organization has doubled the actual length of its existence by expanding the real chronology. Read why.

I had always wondered why Christ died about AD33 and yet men waited until the 11th century to form the Knights Templar, the Cathars, etc and go after the Holy Land by force. Why the 1000 year gap? Turns out there wasn't more than a 10-12 year gap and he proves it using astronomy. This also implies that the planet is not as old as we have been told, and current Christian and other creationist scientists are already championing that idea without being aware of Fomenko's book. The two groups, creationist scientists and the Russian mathematical analysts corroborate each other. Fascinating.

Of course, all this flies in the face of what we have been told traditionally is the 'proper' chronology of western civilization, and most readers will experience 'cognitive dissonance' in reading this book. It means that our history going backwards from AD1600 becomes progressively more incorrect and unreliable until it cannot be trusted at all... in the space of 700-800 years.

Naturally, the curious, open-minded reader will want to know WHO did this, WHY, and did any of the events we think of as really ancient ever happen?
Dr. Fomenko is a respected scientist/mathematician at Moscow State University who has already answered these questions to the satisfaction of his initially skeptical colleagues. Most of them are now believers, a few still refuse to believe (the usual diehards), and of course the western press has ignored Fomenko's work -- for obvious reasons when you read the book. The ones who perpetrated this chronology ruse have a lot to answer for. They are still with us. That's why this book is a well-kept secret.

I gave the book a 4-star rating because I was unable to check out some of his claims; those I checked were as he said. But if even 1/3 of his claims are true, this punches a big hole in what we think is our history, the meaning of western civilization, our educational process (for repeating the ruse as gospel), and the trustworthiness of the organization that perpetrated this ruse, well-intentioned or not.

This book relates to current research into a Young Earth paradigm, to John Keel's discoveries about our planet, and Fr Malachi Martin's insights (in his now out-of-print books). We are indeed sheep who are manipulated and kept ignorant -- for a reason. While knowing what these men have to say may be the "booby prize" (as in: 'what can you do with this knowledge?'), it will provide interesting reading. Didn't someone say: "...and the Truth will set you free."?? For you to judge if this book contains the truth.

Research and Knowledge at Work: Perspectives, Case-studies and Innovative Strategies

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Research and Knowledge at Work: Perspectives, Case-studies and Innovative Strategies
John Garrick
Manufacturer: Routledge
ProductGroup: Book
Binding: Paperback

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ASIN: 041521338X

Book Description

Leading experts from North America, Japan, Britain and Australia illustrate both practice and theory issues, making this a valuable resource for all those concerned with continuing professional development.

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