583hw4_fall09

583hw4_fall09 - University of Washington Department of...

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University of Washington Department of Economics Economics 583 Assignment #4 Single Equation Linear GMM Due: Wednesday, 10/28/09 Readings : 1. Hayashi, Econometrics, Chapter 3 2. Hall, Generalized Method of Moments , Chapter 2. 3. Zivot and Wang, Modeling Financial Time Series with S-PLUS, 2 nd Edition , Chapter 21 (.pdf file on class syllabus page) 4. Baum, C.F., M.E., Schaffer, and S. Stillman (2002). "Instrumental Variables and GMM: Estimation and Testing, Boston College Economics Working Paper 545. (.pdf file on class syllabus page) 5. Cliff, M. (2003). "GMM and MINZ Program Libraries for Matlab" (.pdf on class syllabus page) 6. Newey, W. and West, K. (1987). "Hypothesis testing with efficient method of moment estimators," International Economic Review , 28, 777-787. 7. Eviews: See help listings on IV and GMM estimation; Wald test, coefficient restriction; J-statistic; Hausman test. Data : (available on class homework page) 1. grilic.xls. Cross sectional data set for wage equation estimation. See the description of the variables on page 250 of Hayashi. .
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583hw4_fall09 - University of Washington Department of...

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