Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models by Myoung-Jae Lee

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Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models by Myoung-Jae Lee

Summary

The classical econometric approach to modelling has been to specify a model up to a finite-dimensional parameter vector, and estimation and testing techniques have been widely used on these finite-dimensional parameter spaces. This book provides a survey of these modern techniques and how they are applied to limited dependent variable models.

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Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models by Myoung-Jae Lee

The classical econometric approach to modelling has been to specify a model up to a finite-dimensional parameter vector, and estimation and testing techniques have been widely used on these finite-dimensional parameter spaces. In the last fifteen years or so however, new methods have been developed to allow more flexible models which utilise infinite-dimensional parameters. Simultaneously, methods of moments estimation have also become more widely used and applied. In this book, the author provides a survey of these modern techniques and how they are applied to limited dependent variable (LDV) models. As well as covering many classical approaches, the topics covered include: instrumental variable estimation, the generalized method of moments, extremum estimators, methods of simulated moments, minimum distance estimation, nonparametric density and regression function estimation, and semiparametric methods for LDV. As a result, many graduate students and research workers will appreciate this up-to-date account. There is an appendix that describes the use of the software package GAUSS to implement these methods in conjunction with some real data sets.
SKU Unavailable
ISBN 13 9780387946269
ISBN 10 0387946268
Title Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models
Author Myoung-Jae Lee
Condition Unavailable
Publisher Springer-Verlag New York Inc.
Year published 1996-04-04
Number of pages 308
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note Unavailable