Generalized Method of Moments and Macroeconomics

Bruce E. Hansen · Kenneth D. West

86 citations0/0 files storedJournal of Business and Economic Statistics

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Monetary Policy and Economic Impact Economic theories and models Statistical and numerical algorithms

Abstract

We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.

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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 1995Another look at the instrumental variable estimation of error-components models 1978Specification Tests in Econometrics 1981Biases in Dynamic Models with Fixed Effects 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1982Formulation and estimation of dynamic models using panel data 1981Estimation of Dynamic Models with Error Components

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