Department of Statistics Seminar
North Carolina State University

presents

Alastair Hall

North Carolina State University

"Generalized Method of Moments: A Survey and Some New Results on the Impact of Misspecification"

ABSTRACT

Generalized Method of Moments (GMM) was first introduced into the econometrics literature by Hansen (1982). Since then, GMM has had considerable impact on the theory and practice of econometrics. For theoreticians, the main advantage is that GMM provides a very general framework for considering issues of statistical inference because it encompasses many estimators of interest in econometrics. For applied researchers, it provides a computationally convenient method of estimating nonlinear dynamic models without complete knowledge of the probability distribution of the data.

This talk provides an introduction to GMM estimation and surveys the main issues in the literature. Special attention is devoted to some recent work on the behaviour of the estimator in misspecified models.

Friday, February 12, 1999

3:35 - 4:35 pm

206 Cox Hall

Refreshments will be served on the second floor of Dabney Hall (left of Room 222) at 3:00 pm.