Alastair R. Hall


Contact information         
Recent publications GMM Resources  Working papers





Principal appointment:

Professor of Econometrics, University of Manchester, UK

Adjunct appointment: Distinguished Adjunct Professor of Economics, American University, Washington DC, USA


Contact information:

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    


GMM Resources:

Book: Generalized Method of Moments, Advanced Texts in Econometrics Series, Oxford University Press, 2005.

Kostas Kyriakoulis's GMM Toolbox for MATLAB.

methods@manchester talk entitled "What is Generalized Method of Moments?", lecture (45 minutes, slides and audio), five minute summary (video).


Recent publications:

Andrews, M., O. Elamin, A. R. Hall, K. Kyriakoulis and M. Sutton, Inference in the Prescence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England,  accepted for publication in  Econometric Reviews. (January, 2014, pdf)

Hall, A. R., D. R. Osborn and N. Sakkas, 2015, Structural Break Inference using Information Criteria in Models Estimated by Two Stage Least Squares,  Journal of Time Series Analysis, 36,  741-762. (November, 2013, pdf)

Hall, A. R., 2015,  Econometricians have their moments: GMM at 32, The Economic Record, 91 Special Issue, June, 1-24.

Hall, A. R., Y. Li, C. D. Orme and A. Sinko, 2015, Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach,  Econometric Reviews, 34, 286-327. (October, 2013, pdf,)

Hall, A. R., D. R. Osborn and N. Sakkas,  2013, Inference about Structural Breaks using Information Criteria,  The Manchester School, 81, No. S3, 54-81. (May 2012 version, pdf)

Boldea, O., and A. R. Hall, 2013, Testing Structural Stability in Macroeconometric Models, in Handbook of Research Methods and Applications on Empirical Macroeconomics, N. Hashimzade and M. Thornton (ed.s), Edward Elgar, 206-228.

Hall, A. R., 2013, Generalized Method of Moments, in Handbook of Research Methods and Applications on Empirical Macroeconomics, N. Hashimzade and M. Thornton (ed.s), Edward Elgar, 313-333.

Boldea, O. and A. R. Hall,  2013, Estimation and Inference in Unstable Nonlinear Least Squares Models, Journal of Econometrics, 172, 158-167.( May 2012 version, pdf)

Hall, A. R., and N. Sakkas, 2013, Approximate P-values of Certain Tests Involving Hypotheses About Multiple Breaks, Journal of Econometric Methods, 2, 53-68. (December 2011, pdf)

Dovonon, P., A. R. Hall and K. Jana, 2012, Inference About Long Run Canonical Correlations, Journal of Time Series Analysis, 33, 665-683. (Oct. 2011 version, pdf).

Hall, A. R., S. Han and O. Boldea, 2012, Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors, Journal of Econometrics, 170, 281-302. (Sept 2010 version, pdf)

Hall, A. R., A. Inoue, J. M. Nason and B. Rossi, 2012, Information Criteria for Impulse Response Function Matching estimation of DSGE Models, Journal of Econometrics, 170, 499-518. (August 2010 version, pdf)

Boldea, O. Hall, A. R., and S. Han, 2011, Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS,  Econometric Reviews, 31:1, 1-33. (June 2011 version, pdf)

Hall, A. R. and D. Pelletier, 2011, Non-nested Testing in Models Estimated via Generalized Method of Moments, Econometric Theory, 27, 443-456. (June 2008 pdf; May 2010 pdf)

Hall, A.R., 2010, Generalized Method of Moments (GMM), in Encyclopaedia of Quantitative Finance, (Cont R., ed.) John Wiley & Sons Ltd, Chichester, UK.836-840. (pdf)

Eryuruk, G., A. R. Hall, and K. Jana, 2009, A Comparative Study of Three Data-Based Methods of Instrument Selection, Economics Letters, 105, 280-283 .(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.

Current working papers:

Hall, A. R., D. R. Osborn and N. Sakkas,  2015,  The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points, (March 2015, pdf

A. R. Hall and P. Dovonon, 2015, GMM and Indirect Inference: an Appraisal of their Connections and New Results on their Properties under Second Order Identification (March 2015, pdf)

P. Dovonon and A. R. Hall , 2016, The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification (January 2016, pdf