Dates: May 14-18, 2007
Location: American University
Objectives and Scope
Generalized Method of Moments (GMM) was first introduced into the econometrics literature in 1982 by Lars Hansen. Since then it has been widely applied to analyze economic and financial data. This interest has both stimulated and been facilitated by the development of numerous statistical inference techniques based on GMM estimators. These applications have been in very diverse areas spanning macroeconomics, finance, agricultural economics, environmental economics and labor economics. Depending on the context, GMM has been applied to time series, cross-sectional and panel data.
This course provides an introduction to estimation and inference within the GMM framework. The main focus is placed on GMM estimation in the context of time series data and the various inference procedures are illustrated using examples from agricultural economics, macroeconomics and finance.
The lectures and discussion are based on:
Hall, A. R., (2004), Generalized Method of Moments, Oxford University Press.
Alastair Hall is a professor in the Department of Economics at North Carolina State University. His most recent book is on GMM. He has published a large number of articles on GMM and related topics in the top econometrics and statistics journals. He is currently serving on the editorial boards of Econometric Reviews and Journal of Financial Econometrics, and served as co-editor of Journal of Business and Economic Statistics from 2001-2003.