<p> </p><p>GMM with Weak Identification</p><p>James H. Stock; Jonathan H. Wright</p><p>Econometrica, Vol. 68, No. 5. (Sep., 2000), pp. 1055-1096.</p><p>  </p><p>Implied Probabilities in GMM Estimators</p><p>Kerry Back; David P. Brown</p><p>Econometrica, Vol. 61, No. 4. (Jul., 1993), pp. 971-975.</p><p>  </p><p>Asymptotic Equivalence of Closest Moments and GMM Estimators</p><p>Whitney K. Newey</p><p>Econometric Theory, Vol. 4, No. 2. (Aug., 1988), pp. 336-340.</p><p>  </p><p>Generalization of GMM to a Continuum of Moment Conditions</p><p>Marine Carrasco; Jean-Pierre Florens</p><p>Econometric Theory, Vol. 16, No. 6. (Dec., 2000), pp. 797-834.</p><p>  </p><p>Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators</p><p>Whitney K. Newey; Richard J. Smith</p><p>Econometrica, Vol. 72, No. 1. (Jan., 2004), pp. 219-255.</p><p>  </p><p>GMM Estimation of Autoregressive Roots near Unity with Panel Data</p><p>Hyungsik Roger Moon; Peter C. B. Phillips</p><p>Econometrica, Vol. 72, No. 2. (Mar., 2004), pp. 467-522.</p><p>  </p><p>Estimating the Innovation Function from Patent Numbers: GMM on Count Panel Data</p><p>Bruno Crépon; Emmanuel Duguet</p><p>Journal of Applied Econometrics, Vol. 12, No. 3, Special Issue: Econometric Models of Event Counts. (May - Jun., 1997), pp. 243-263.</p><p>  </p><p>An Examination of the Dynamic Behaviour of Local Governments Using GMM Bootstrapping<br/>     Methods</p><p>Matz Dahlberg; Eva Johansson</p><p>Journal of Applied Econometrics, Vol. 15, No. 4. (Jul. - Aug., 2000), pp. 401-416.</p><p>  </p><p>参数的矩估计就是用样本矩去估计总体矩，经常使用的是用样本一阶矩去估计总体一阶矩(均值)，用样本二阶中心矩去估计总体二阶中心矩(方差)。既然矩估计的指数可正可负，可大可小，如果选的矩估计方程个数多于待估参数个数，那么该怎样确定参数估计值呢?广义矩估计方法(GMM)应运而生。虽然它可以追溯更早一些，但比较成熟的方法是由Hansen(1982)引进的。</p><p>  </p><p>  </p><p>【典藏下载系列2】世界顶尖计量经济学著作集锦:</p><p>  </p><p>http://www.pinggu.org/bbs/thread-257614-1-1.html</p>

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