Generalized Method of Moments - University of Southampton

Generalized Method of Moments
PhD Course at Aarhus School of Business, 2005
Jan M. Podivinsky
University of Southampton, United Kingdom
INTRODUCTION
Generalized method of moments (GMM) estimation has been applied widely
in economics and finance since its introduction by L. P. Hansen in 1982. This
course considers both the theoretical properties of, and the practical issues
arising from, GMM estimation and testing, and illustrates these using
examples from both labour economics and finance. The course also
considers alternative related methods of estimation that are currently
attracting the interest of researchers.
COURSE OVERVIEW
Monday 31 st January 2005
9:00-12:00 Overview and review of population moment conditions and
GMM estimation. GMM estimation and hypothesis testing in
both correctly specified and misspecified models.
13:30-15:30 Applications of GMM in labour economics and finance.
Tuesday 1 st February 2005
9:00-12:00 Practical issues: moment selection, covariance matrix
estimation and finite-sample performance. GMM in multipleequation
models and panel data models.
13:30-15:30 Further applications of GMM, including panel data models.
Wednesday 2 nd February 2005
9:00-12:00 GMM with dynamic panel data. Related methods of
estimation: simulated method of moments and indirect
inference.
13:30-15:30 Related methods of estimation: empirical likelihood and
generalized empirical likelihood (GEL) methods.

REFERENCES
[Note: Additional references will be given during the course.]
F. Bravo (2004), “Empirical Likelihood Inference with Application to Some
Econometric Models”, Econometric Theory, 20, 231-264.
A. R. Hall (1993), “Some Aspects of Generalized Method of Moments
Estimation”, Ch. 15 of G. S. Maddala, C. R. Rao and H. D. Vinod
(eds.), Handbook of Statistics, Vol. 11, Amsterdam: North Holland.
A. R. Hall (2005), Generalized Method of Moments, Oxford: Oxford
University Press.
F. Hayashi (2000), Econometrics, Princeton: Princeton University Press
[Chs. 3 & 4: “Single-Equation GMM” and “Multiple-Equation GMM”].
J. D. Hamilton (1994), “Generalized Method of Moments”, Ch. 14 of J. D.
Hamilton, Time Series Analysis, Princeton: Princeton University Press.
L. P. Hansen (1982), “Large Sample Properties of Generalized Method of
Moments Estimation”, Econometrica, 50, 1029-1054.
L. Mátyás (ed.) (1999), Generalized Method of Moments Estimation,
Cambridge: Cambridge University Press.
M. Ogaki (1993), “Generalized Method of Moments: Econometric
Applications”, Ch. 17 of G. S. Maddala, C. R. Rao and H. D. Vinod
(eds.), Handbook of Statistics, Vol. 11, Amsterdam: North Holland.
P. A. Ruud (2000), An Introduction to Classical Econometric Theory, Oxford:
Oxford University Press [Chs. 21 & 22: “The Generalized Method of
Moments” and “Generalized Method of Moments Hypothesis Tests”].
R. J. Smith (2004), “GEL Criteria for Moment Condition Models”, cemmap
Working Paper CWP19/04, UCL.