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1、ADVANCEDTEXTSINECONOMETRICSGeneralEditorsManuelArellanoGuidoImbensGrayhamE.MizonAdrianPaganMarkWatsonAdvisoryEditorsC.W.J.GrangerThispageintentionallyleftblankGeneralizedMethodofMomentsALASTAIRR.HALL13GreatClarendonStreet,OxfordOX26DPOxfordUniversityPressisadepartmentoftheUniversityofOxford.Itfur
2、therstheUniversity’sobjectiveofexcellenceinresearch,scholarship,andeducationbypublishingworldwideinOxfordNewYorkAucklandBangkokBuenosAiresCapeTownChennaiDaresSalaamDelhiHongKongIstanbulKarachiKolkataKualaLumpurMadridMelbourneMexicoCityMumbaiNairobiS˜aoPauloShanghaiTaipeiTokyoTorontoOxfordisaregis
3、teredtrademarkofOxfordUniversityPressintheUKandincertainothercountriesPublishedintheUnitedStatesbyOxfordUniversityPressInc.,NewYorkcAlastairR.Hall2005ThemoralrightsoftheauthorhavebeenassertedDatabaserightOxfordUniversityPress(maker)Firstpublished2005Allrightsreserved.Nopartofthispublicationmaybe
4、reproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,withoutthepriorpermissioninwritingofOxfordUniversityPress,orasexpresslypermittedbylaw,orundertermsagreedwiththeappropriatereprographicsrightsorganization.Enquiriesconcerningreproductionoutsidethescopeoftheaboveshouldbesenttot
5、heRightsDepartment,OxfordUniversityPress,attheaddressaboveYoumustnotcirculatethisbookinanyotherbindingorcoverandyoumustimposethissameconditiononanyacquirerBritishLibraryCataloguinginPublicationDataDataavailableLibraryofCongressCataloginginPublicationDataDataavailableISBN0-19-877521-0(hbk.)ISBN0-1
6、9-877520-2(pbk.)13579108642TypesetbyNewgenImagingSystems(P)Ltd.,Chennai,IndiaPrintedinGreatBritainonacid-freepaperbyBiddlesLtd.,King’sLynn,NorfolkToAdaandMartenThispageintentionallyleftblankPrefaceGeneralizedMethodofMoments(GMM)hasbecomeoneofthemainstatis-ticaltoolsfortheanalysisofeconomicandfinan
7、cialdata.Accompanyingthisempiricalinterest,thereisagrowingliteratureineconometricsonGMM-basedinferencetechniques.Infact,inmanyways,GMMisbecomingthecommonlanguageofeconometricdialoguebecausetheframeworksubsumesmanyother
