Bruce E. Hansen and Kenneth D. West

"Generalized Method of Moments and Macroeconomics"

Journal of Business and Economic Statistics, 2002


We consider the contribution to the analysis of economic time series of the generalized method of moments estimator introduced by Hansen (1982). We outline the theoretical contribution, conduct a small-scale survey and discuss some ongoing theoretical research.

Prepared for a special issue of the Journal of Business and Economic Statistics.

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Some of the above material is based upon work supported by the National Science Foundation. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.