Alastair R. Hall
|Recent publications||GMM Resources||Working papers|
Professor of Econometrics, University of Manchester, UK
|Adjunct appointment:||Distinguished Adjunct Professor of Economics, American University, Washington DC, 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|
|Manchester, M13 9PL, UK|
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).
Boldea, O. and A. R. Hall, Estimation and Inference in Unstable Nonlinear Least Squares Models. ( May 2012 version, pdf) forthcoming in Journal of Econometrics.
Hall, A. R., and N. Sakkas, 2012, Approximate P-values of Certain Tests Involving Hypotheses About Multiple Breaks, forthcoming in Journal of Econometric Methods, (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, Inference about Structural Breaks using Information Criteria. (May 2012, pdf)
Hall, A. R., Y. Li and C. D. Orme, Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach. (April 2011, pdf, currently under revision)
Hall, A. R., Generalized Method of Moments, manuscript prepared for inclusion in Handbook of Research Methods and Applications on Empirical Macroeconomics, N. Hashimzade and M. Thornton (ed.s) to be published by Edward Elgar, (Nov. 2011, pdf)
Boldea, O., and A. R. Hall, Testing Structural Stability in Macroeconometric Models, manuscript prepared for inclusion in Handbook of Research Methods and Applications on Empirical Macroeconomics, N. Hashimzade and M. Thornton (ed.s) to be published by Edward Elgar. (Dec. 2011, pdf).