5 Generalised Method of Moments-III

Santu Ghosh

References for Generalized Method of Moments

• Davidson, R and MacKinnon, J. D., 2004, Econometric Theory and Methods, Oxford University Press.
• Hansen, L.P (1982) : “Large sample properties of generalised method of moments estimators”, Econometrica, 50, 1029-54.
• Newey W.K. And D.L. McFadden(1994) “Large sample estimation and hypothesis testing”, Ch 36 in Handbook of econometrics, Vol4, ed F.F. Engle and D.L.McFadden, Amersterdam, North Holland, 2111-245
• Ogaki, M(1993): “ Generalised Method of Moments : Econometrics Application”, in G.S. Maddala, C.R. Rao, and H.D. Vinod (ed) Handbook of Statistics, The Handbook of Statistics, Vol. 11,pp 455-488, North-Holland, Amsterdam.
• Hall, A (1993): “ Some Aspects of Generalised Method of Moments Estimation”, in G.S. Maddala, C.R. Rao, and H.D. Vinod (ed) Handbook of Statistics, The Handbook of Statistics, Vol. 11,pp 393-417, North-Holland, Amsterdam.