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Conditional Moment Estimation of Nonlinear Equation Systems

With an Application to an Oligopoly Model of Cooperative R&D

  • Book
  • © 2001

Overview

Authors:
  1. Joachim Inkmann

    1. Department of Economics, University of Konstanz, Konstanz, Germany

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 497)

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Table of contents (12 chapters)

  1. Front Matter

    Pages I-VIII
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  2. Introduction

    1. Introduction

      • Joachim Inkmann
      Pages 1-5

  3. Estimation Theory

    1. The Conditional Moment Approach to GMM Estimation

      • Joachim Inkmann
      Pages 6-19

    2. Asymptotic Properties of GMM Estimators

      • Joachim Inkmann
      Pages 20-27

    3. Computation of GMM Estimators

      • Joachim Inkmann
      Pages 28-35

    4. Asymptotic Efficiency Bounds

      • Joachim Inkmann
      Pages 36-54

    5. Overidentifying Restrictions

      • Joachim Inkmann
      Pages 55-66

    6. GMM Estimation with Optimal Weights

      • Joachim Inkmann
      Pages 67-106

    7. GMM Estimation with Optimal Instruments

      • Joachim Inkmann
      Pages 107-122

    8. Monte Carlo Investigation

      • Joachim Inkmann
      Pages 123-152

  4. Application

    1. Theory of Cooperative R&D

      • Joachim Inkmann
      Pages 153-178

    2. Empirical Evidence on Cooperative R&D

      • Joachim Inkmann
      Pages 179-197

    3. Conclusion

      • Joachim Inkmann
      Pages 198-199

  5. Back Matter

    Pages 200-216
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Keywords

About this book

Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

Authors and Affiliations

  • Department of Economics, University of Konstanz, Konstanz, Germany

    Joachim Inkmann

Bibliographic Information

  • Book Title: Conditional Moment Estimation of Nonlinear Equation Systems

  • Book Subtitle: With an Application to an Oligopoly Model of Cooperative R&D

  • Authors: Joachim Inkmann

  • Series Title: Lecture Notes in Economics and Mathematical Systems

  • DOI: https://doi.org/10.1007/978-3-642-56571-7

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2001

  • Softcover ISBN: 978-3-540-41207-6Published: 06 November 2000

  • eBook ISBN: 978-3-642-56571-7Published: 06 December 2012

  • Series ISSN: 0075-8442

  • Series E-ISSN: 2196-9957

  • Edition Number: 1

  • Number of Pages: VIII, 214

  • Topics: Econometrics, Industrial Organization

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