Home » »

Econometrics

Source: www.istfin.eco.unisi.ch
Topic: Econometrics

Sort Desciption: Conditional Moment Restrictions" Journal of Econometrics 34 305-334. ... cesses" Chapter 45 in Handbook of Econometrics Volume IV R. Engle and ...

Content Inside: Universit della Svizzera Italiana Faculty of Economics PhD Program in Finance 2006/07 Econometrics P. Gagliardini 1. Linear Regression Model 1.1 Classical linear regression and generalized linear regression 1.2 OLS estimation. Finite sample and large sample properties 1.3 Endogeneity and inconsistency of OLS 1.4 Instrumental variable estimation and 2SLS 1.5 Test of overidentification 1.6 Systems of simultaneous equations 2. Pseudo Maximum Likelihood Estimation 2.1 Maximum Likelihood estimation with specification errors 2.2 Kullback-Leibler discrepancy and pseudo true value 2.3 Pseudo Maximum Likelihood (PML) estimation 2.4 Asymptotic properties of PML. Theory of M-estimators 2.5 PML estimation of order 1 2.6 PML estimation of order 2 3. The Generalized Method of Moments 3.1 Orthogonality conditions 3.2 Generalized Method of Moments (GMM) estimation 3.3 Consistency and asymptotic normality of GMM 3.4 Best GMM estimator 3.5 Testing parametric hypotheses in the GMM framework 3.6 GMM test of overidentification 3.7 Outlook: weak instruments and information based approaches to GMM 1 References Books Cochrane J. H. (2001): Asset Pricing. Princeton University Press Princeton NJ. Davidson R. and J. MacKinnon (1993): Estimation and Inference in Econometrics Oxford University Press Oxford. Greene W. (1997): Econometric Analysis Third Edition Prentice Hall Englewood Cliffs. Gouriroux C. and A. Monfort (1995): Statistics and Econometric Mod- els Volumes I and II Cambridge University Press Cambridge. Hall A. (2005): Generalized Method of Moments Oxford University Press. Hayashi F. (2000): Econometrics Princeton University Press Prince- ton. White H. (1984): Asymptotic Theory for Econometricians Academic Press. Wooldridge J. (2002): Econometric Analysis of Cross Section and Panel Data MIT Press Cambridge. Papers Antoine B. Bonnal H. and E. Renault (2006): "On the Efficient Use of the Informational Content of Estimating Equati ...

Click to download Econometrics

, , , , , , , , , , , , , , , , , , ,


Related PDF Files:

» Econometrics

Host: www.istfin.eco.unisi.ch

Conditional Moment Restrictions" Journal of Econometrics 34 305-334. ... cesses" Chapter 45 in Handbook of Econometrics Volume IV R. Engle and ...

Filed under Econometrics | 822 Downloads

» An introduction to financial econometrics

Host: www.msu.edu

Financial econometrics is an active field of integration of finance economics ... an excellent book on a comprehensive overview of financial econometrics. ...

Filed under Econometrics | 273 Downloads

» Fumio Hayashi: Econometrics

Host: press.princeton.edu

Prior exposure to undergraduate econometrics is not required. ... For some models in econometrics Maximum Likelihood (ML) is the more ...

Filed under Econometrics | 200 Downloads

Search


Partner

Download PDF