| Titre | La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie | |
|---|---|---|
| Auteur | François Langot, Patrick Fève | |
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Revue | Economie et prévision |
| Numéro | no 119, 1995/3 | |
| Rubrique / Thématique | Méthodes |
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| Page | 139-170 | |
| Résumé anglais |
The Generalized Method of Moments. Theoretical Extensions and Macroeconomic Applications
by Patrick Fève and François Langot
The purpose of this paper is to present the main theoretical results obtained when using the Generalized Method of Moments. Principles, statistical properties and various illustrations of the estimator of this method are discussed. Then covariance matrix computation methods are explained and various specification tests examined. A number of extensions of this method are also studied. Lastly, the use of such a method is illustrated by empirically applying it to the estimation of the structural parameters of a Consumption Based Capital Asset Pricing Model. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1995_num_119_3_5737 |
