Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
| ISBN: | 9783540412076 |
| Publication date: | 6th November 2000 |
| Author: | Joachim Inkmann |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 214 pages |
| Series: | Lecture Notes in Economics and Mathematical Systems |
| Genres: |
Econometrics and economic statistics Economics of industrial organization |
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
Conditional Moment Estimation of Nonlinear Equation Systems features in the following genres: Econometrics and economic statistics, Economics of industrial organization
Conditional Moment Estimation of Nonlinear Equation Systems is available in Paperback
Conditional Moment Estimation of Nonlinear Equation Systems was written by Joachim Inkmann and published by Springer an imprint of Springer Berlin Heidelberg
Conditional Moment Estimation of Nonlinear Equation Systems has 214 pages
Yes it is part of Lecture Notes in Economics and Mathematical Systems series