Alastair R. Hall
| Appointments | ||
| Recent publications | GMM book | Working papers |
| Principal appointment: | Professor of Econometrics, University of Manchester, UK |
| Adjunct appointments: | Distinguished Adjunct Professor of Economics, American University, Washington DC, USA |
| Adjunct Professor of Economics, North Carolina State University, Raleigh, NC, USA |
| Address: | Economics, School of Social Sciences | phone: | +44 (0) 161 275 4875 |
| Arthur Lewis Building | fax: | +44 (0) 161 275 4812 | |
| University of Manchester | email: | alastair`dot'hall`at'manchester`dot'ac`dot'uk | |
| Oxford Road | |||
| Manchester, M13 9PL, UK |
Generalized Method of Moments, Advanced Texts in Econometrics Series, Oxford University Press, 2005.
Hall, A.R., 2009, Generalized Method of Moments, to appear in the Section on Financial Econometrics (O. Barndorff-Nielsen and E. Renault ed.s) in the Encyclopaedia of Quantitative Finance. (pdf)
Eryuruk, G., A. R. Hall, and K. Jana, 2009, A Comparative Study of Three Data-Based Methods of Instrument Selection, Economics Letters, forthcoming .(pdf)
Eryuruk, G., A. R. Hall and K. Jana, 2009, Contemporaneous and Long Run Canonical Correlations in the Linear IV model: Implications for Instrument selection, Economics Letters, 105, 83-85. (pdf)
Hall, A. R., A. Inoue and C. Shin, 2008, Entropy Based Moment Selection in the Presence of Weak Identification, Econometric Reviews, 27, 398-427(pdf).
Hall, A. R., A. Inoue, K. Jana and C. Shin, 2007, Information in Generalized Method of Moments Estimation and Entropy Based Moment Selection, Journal of Econometrics, 138, 488-512.(pdf)
Hall, A. R., K. Kyriakoulis and F. P. M Peixe, 2006, The Mean Squared Error of the Instrumental Variables Estimator when the Disturbance has an Elliptical Distribution, Econometric Reviews, 25, 117-138.
Hall, A. R., A. Inoue and F. P. M Peixe, 2003, Covariance Matrix Estimation and the Limiting Behaviour of the Overidentifying Restrictions Test in the Presence of Structural Instability, Econometric Theory, 19, 962-983.
Hall, A. R. and F. P. M. Peixe, 2003, A Consistent Method for the Selection of Relevant Instruments, Econometric Reviews, 22, 269-288.
Hall, A. R. and A. Inoue, 2003, The Large Sample Behaviour of the GMM Estimator in Misspecified Models, Journal of Econometrics, 114, 361-394. (Corrigendum, Journal of Econometrics, 141, 1418).
Hall, A. R., 2001, Generalized Method of Moments, in Companion in Theoretical Econometrics, B. Baltagi (ed.), Basil Blackwell, Oxford, UK, 230-255.
Hall, A. R., 2001, Comment on ``Testing Target Zone Models Using Efficient Method of Moments'' by Chung and Tauchen, Journal of Business and Economic Statistics, 19, 269-271.
Hall, A. R., 2000, Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test, Econometrica, 68, 1517-1527.
Hall, A. R. and F. P. M Peixe, 2000, Data Mining and the Selection of Instruments, Journal of Economic Methodology, 7, 265-277.
Fleissig, A., A. R. Hall and J. J. Seater, 2000, GARP, Seperability and the Representative Agent, Macroeconomic Dynamics, 4, 324-342.
Hall, A. R., S. Han and O. Boldea, Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS. (pdf)
Hall, A. R., S. Han and O. Boldea, Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors, (Sept 2009, pdf)
Hall, A. R. and D. Pelletier, Non-nested Testing in Models Estimated via Generalized Method of Moments. (pdf)
Hall, A. R., A. Inoue, J. M. Nason and B. Rossi, Information Criteria for Impulse Response Function Matching estimation of DSGE Models. (Sept 2009, pdf)
Boldea, O. and A. R. Hall, Estimation and Inference in Unstable Nonlinear Least Squares Models. (Oct 2009,pdf)