Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham.

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics.

• 1. Introduction ; 2. The Instrumental Variable Estimator in the Linear Regression Model ; 3. GMM Estimation in Correctly Specified Models ; 4. GMM Estimation in Misspecified Models ; 5. Hypothesis Testing ; 6. Asymptotic Theory and Finite Sample Behaviour ; 7. Moment Selection in Theory and in Practice ; 8. Alternative Approximations in Finite Sample Behaviour ; 9. Empirical Examples ; 10. Related Methods of Estimation ; Appendix: Mixing processes and Nonstationarity

Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham.

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics.

• 1. Introduction ; 2. The Instrumental Variable Estimator in the Linear Regression Model ; 3. GMM Estimation in Correctly Specified Models ; 4. GMM Estimation in Misspecified Models ; 5. Hypothesis Testing ; 6. Asymptotic Theory and Finite Sample Behaviour ; 7. Moment Selection in Theory and in Practice ; 8. Alternative Approximations in Finite Sample Behaviour ; 9. Empirical Examples ; 10. Related Methods of Estimation ; Appendix: Mixing processes and Nonstationarity

Alastair R. Hall is Professor of Economics at North Carolina State University, where he has taught since 1985. He has also visited at the University of Pennsylvania, the University of Wisconsin-Madison's Graduate School of Business, and at the University of Birmingham.

Hall's book gives a consistent and accurate account of the academic developments, especially in the time series area, and clearly fills a niche. The level required is that of a graduate student with a good background in econometrics.

• 1. Introduction ; 2. The Instrumental Variable Estimator in the Linear Regression Model ; 3. GMM Estimation in Correctly Specified Models ; 4. GMM Estimation in Misspecified Models ; 5. Hypothesis Testing ; 6. Asymptotic Theory and Finite Sample Behaviour ; 7. Moment Selection in Theory and in Practice ; 8. Alternative Approximations in Finite Sample Behaviour ; 9. Empirical Examples ; 10. Related Methods of Estimation ; Appendix: Mixing processes and Nonstationarity