Generalized Method of Moments

ECON80031 Generalized Method of Moments 15 Semester 1 Postgraduate Research Postgraduate Research Economics 1 FHEQ level (Framework for Higher Education Qualifications) ' Doctorate ' European Credit Transfer & Accumulation System Rating : 7.5 The five lectures cover the following topics Lecture 1: Introduction - GMM and its statistical antecedents - Examples of population moment conditions in economics - GMM - an illustration using instrumental variables Lecture 2: GMM estimation in correctly specified nonlinear dynamic models - Identification - The Estimator. - Identifying and overidentifying restrictions. - Asymptotic properties. - Covariance Matrix estimation. Lecture 3: GMM estimation in correctly specified nonlinear dynamic models; hypothesis testing - Two-step and iterated GMM estimation} - Continuous updating GMM estimator - The overidentifying restrictions test Lecture 4: Hypothesis testing; finite sample behaviour of GMM estimators - Testing subsets of moment conditions. - Testing nonlinear constraints on the parameters - Structural stability testing - Finite sample behavior Lecture 5: Other topics (depending on time) from: - Moment selection - Weak identification. - Many moment asymptotics - Generalized Empirical Likelihood Estimation The computer labs will focus on the use of numerical optimization routines to estimate nonlinear econometric models via MATLAB. The five lectures cover the following topics Lecture 1: Introduction - GMM and its statistical antecedents - Examples of population moment conditions in economics - GMM - an illustration using instrumental variables Lecture 2: GMM estimation in correctly specified nonlinear dynamic models - Identification - The Estimator. - Identifying and overidentifying restrictions. - Asymptotic properties. - Covariance Matrix estimation. Lecture 3: GMM estimation in correctly specified nonlinear dynamic models; hypothesis testing - Two-step and iterated GMM estimation} - Continuous updating GMM estimator - The overidentifying restrictions test Lecture 4: Hypothesis testing; finite sample behaviour of GMM estimators - Testing subsets of moment conditions. - Testing nonlinear constraints on the parameters - Structural stability testing - Finite sample behavior Lecture 5: Other topics (depending on time) from: - Moment selection - Weak identification. - Many moment asymptotics - Generalized Empirical Likelihood Estimation The computer labs will focus on the use of numerical optimization routines to estimate nonlinear econometric models via MATLAB. To provide an overview of the statistical methods available for the analysis of time series econometric models using Generalized Method of Moments (GMM). The training consists of (i) an intuitive introduction to the statistical theory behind the GMM; (ii) a rigorous statistical analysis of the first order asymptotic properties; (iii) an introduction to its implementation in practice. The course is suitable for students aspiring to make original research contributions in econometric theory and/or engaging in empirical research in macroeconomics or financial economics. The objective of this course is to provide the student with the rigorous training required to make original research contributions in econometric theory and applied research in macroeconomics or financial economics. There will five lectures each of two hours long. There will also be five (six including the introductory session) tutorials in the computer lab in which students will learn about the implementation of GMM estimation in MATLAB. 0 Other 100% A problem set, a written paper and a presentation to class Y Course based on: Alastair R. Hall, 2005, Generalized Method of Moments, Oxford University Press. Supplementary readings are provided as needed. For the computer labs, students must have a version of MATLAB with optimization toolbox installed on their notebooks. A student version of MATLAB is available from Blackwell's or from online mathworks store (50GBP). The student version of MATLAB includes the basic package plus all toolboxes (price for non-students ~ 10000GBP). 0 Information Lecturers: Professor Alastair Hall and Dr Arthur SinkoTimetable TBC