Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D: 497 (Lecture Notes in Economics and Mathematical Systems, 497) - Softcover

Book 75 of 126: Lecture Notes in Economics and Mathematical Systems

Inkmann, Joachim

 
9783540412076: Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D: 497 (Lecture Notes in Economics and Mathematical Systems, 497)
Softcover
ISBN 10: 3540412077 ISBN 13: 9783540412076
Publisher: Springer, 2000

Synopsis

Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

"synopsis" may belong to another edition of this title.

Synopsis

Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

"About this title" may belong to another edition of this title.

Publisher
Springer
Publication date
2000
Language
English
ISBN 10 
3540412077
ISBN 13 
9783540412076
Binding
Paperback
Number of pages
222