The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation.

Preface; 1. Introduction to the generalized method of moments estimation David Harris and László Mátyás; 2. GMM estimation techniques Masao Ogaki; 3. Covariance matrix estimation Matthew J. Cushing and Mary G. McGarvey; 4. Hypothesis testing in models estimated by GMM Alastair R. Hall; 5. Finite sample properties of GMM estimators and tests Jan M. Podivinsky; 6. GMM estimation of time series models David Harris; 7. Reduced rank regression using GMM Frank Kleibergen; 8. Estimation of linear panel data models using GMM Seung C. Ahn and Peter Schmidt; 9. Alternative GMM methods for nonlinear panel data models Jörg Breitung and Michael Lechner; 10. Simulation based method of moments Roman Liesenfeld and Jörg Breitung; 11. Logically inconsistent limited dependent variables models J. S. Butler and Gabriel Picone; Index.