Generalized Method of Moments

1. Introduction 2. The Instrumental Variable Estimator in the Linear Regression Model 3. GMM Estimation in Correctly Specified Models 4. GMM Estimation in Misspecified Models 5. Hypothesis Testing 6. Asymptotic Theory and Finite Sample Behaviour 7. Moment Selection in Theory and in Practice 8. Alternative Approximations in Finite Sample Behaviour 9. Empirical Examples 10. Related Methods of Estimation Appendix: Mixing processes and Nonstationarity