Alastair R. Hall
|Recent publications||Selected other publications||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).
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)
Selected other publications:
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. 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., 2000, Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test, Econometrica, 68, 1517-1527.
Other working papers:Hall, A. R. 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)