Jean-Pierre Florens,Velayoudom Marimoutou,Anne Peguin-Feissolle,Josef Perktold,Marine Carrasco: Econometric Modeling and Inference

Econometric Modeling and Inference


Description

Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

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Author: Jean-Pierre Florens,Velayoudom Marimoutou,Anne Peguin-Feissolle,Josef Perktold,Marine Carrasco
Number of Pages: 518 pages
Published Date: 31 Jul 2007
Publisher: CAMBRIDGE UNIVERSITY PRESS
Publication Country: Cambridge, United Kingdom
Language: English
ISBN: 9780521700061
Download Link: Click Here
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