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Generalized method of moments : theoretical, econometric and simulation studies

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Title: Generalized method of moments : theoretical, econometric and simulation studies
Author: Liang, Yitian
Degree Master of Science - MSc
Program Statistics
Copyright Date: 2011
Publicly Available in cIRcle 2011-08-24
Abstract: The GMM estimator is widely used in the econometrics literature. This thesis mainly focus on three aspects of the GMM technique. First, I derive the prooves to study the asymptotic properties of the GMM estimator under certain conditions. To my best knowledge, the original complete prooves proposed by Hansen (1982) is not easily available. In this thesis, I provide complete prooves of consistency and asymptotic normality of the GMM estimator under some stronger assumptions than those in Hansen (1982). Second, I illustrate the application of GMM estimator in linear models. Specifically, I emphasize the economic reasons underneath the linear statistical models where GMM estimator (also referred to the Instrumental Variable estimator) is widely used. Third, I perform several simulation studies to investigate the performance of GMM estimator under different situations.
URI: http://hdl.handle.net/2429/36866
Scholarly Level: Graduate

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