A Short Introduction to the Generalized Method of Moments Estimation
Seppo Pynnonen,
Department of Mathematics and Statistics,
University of Vaasa.
Course objective: Give a working knowledge on the GMM estimation.
Contents:
- Introduction
- The Classical Method of Moments
- The Generalized Method of Moments
- Examples,
using SAS
and EViews
Consumption Asset Pricing example.
Literature:
- Hansen, Lars, Peter (1982).
Large sample properties of generalized method of moments estimators. Econometrica,
50, 1029--1054.
-
Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang (2002). Generalized method
of moments: applications in Finance. Journal of Business & Economic Statistics, 20, 4, 470--481.
-
Hansen, Bruce, E.
and Kenneth D. West. (2002).
Generalized method of moments and macroeconomics. Journal of Business & Economic Statistics, 20, 4, 460--469.
-
Ghysels, Eric and Alastair R. Hall (2002). Interview with Lars Peter Hansen. Journal of Business & Economic Statisitcs,
20, 4, 442--447.
-
Cochrane, John (2001).
Asset Pricing.
Princeton University Press, Chapter nn.
-
Hall, Alastair, R. (2004).
Generalized Method of Moments. Oxford University Press.
-
Campbell, John Y.,
Andew W. Lo, and
A. Craig MacKinlay (1997).
The Econometrics of Financial Markets.
Princeton University Press. (Appendix a2)
- Some mathematical and stochastic convergence consepts (pdf)