If you liked Finite sample properties of some alternative GMM estimators by Lars Peter Hansen, start with Methods for estimating continuous time rational expectations models from discrete time data (1980), Exact linear rational expectations models (1981), and Instrumental variables procedures for estimating linear rational expectations models (1981). These recommendations are drawn from the same author, shared genres, and reader overlap on BookOrb.

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Recommended next reads

  1. 1 Methods for estimating continuous time rational expectations models from discrete time data 1980 · Lars Peter Hansen · Same author
  2. 2 Exact linear rational expectations models 1981 · Lars Peter Hansen · Same author
  3. 3 Instrumental variables procedures for estimating linear rational expectations models 1981 · Lars Peter Hansen · Same author
  4. 4 Handbook of Econometrics, Vol. 7A 2020 · 1,032 pages · Steven Durlauf, Lars Peter Hansen, James J. Heckman, Rosa Liliana Matzkin · Same author
  5. 5 Uncertainty Within Economic Models 2014 · 483 pages · Lars Peter Hansen, Thomas J. Sargent · Same author
  6. 6 Formulating and estimating continuous time rational expectations models 1981 · Lars Peter Hansen · Same author
  7. 7 Econometric Evaluation of Asset Pricing Models 2018 · 74 pages · Lars Peter Hansen · Same author
  8. 8 Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time 1981 · Lars Peter Hansen · Same author
  9. 9 The dimensionality of the aliasing problem in models with rational spectral densities 1981 · Lars Peter Hansen · Same author
  10. 10 Advances in Economics and Econometrics Vol. 1 2004 · 208 pages · Mathias Dewatripont, Lars Peter Hansen, Stephen J. Turnovsky · Same author
  11. 11 Rational expectations models and the aliasing phenomenon 1980 · Lars Peter Hansen · Same author
  12. 12 Handbook of financial econometrics tools and techniques 2010 · 1 pages · Lars Peter Hansen · Same author

Frequently asked questions

What should I read after Finite sample properties of some alternative GMM estimators?

BookOrb recommends Methods for estimating continuous time rational expectations models from discrete time data (1980), Exact linear rational expectations models (1981), Instrumental variables procedures for estimating linear rational expectations models (1981), Handbook of Econometrics, Vol. 7A (2020), and Uncertainty Within Economic Models (2014).

Are there books like Finite sample properties of some alternative GMM estimators?

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Who wrote Finite sample properties of some alternative GMM estimators?

Finite sample properties of some alternative GMM estimators is by Lars Peter Hansen.