Alastair Hall

Alastair R. Hall

Appointments	Contact information	GMM Resources

Recent publications	Selected other publications	Working papers

Appointments:

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:

Boldea,O., A. Cornea-Madeira and A. R. Hall, 2019, Bootstraping Structural Changes Tests, accepted for publication in Journal of Econometrics (second revision September 2018 pdf) [Supplementary Appendix, MATLAB code]

Andrews, M., A. R. Hall, R. Khatoon and J. Lincoln, 2019, Info-metric Methods for the Estimation of Models with Group-Specific Moment Conditions, forthcoming in Recent Innovations in Info-Metrics: A Cross Disciplinary Perspective on Information and Information Processing, A. Golan, M. Chen, M. Dunn and A. Ullah (ed.s), Oxford University Press (September 2016, pdf)

Dovonon, P., A. R. Hall and F. Kleibergen, 2018, Inference in Second-Order Identified Models, accepted for publication in Journal of Econometrics, (Sept 2018, pdf)

Dovonon, P. and A. R. Hall , 2018, The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification, Journal of Econometrics, 205,76-111. (previous version May 2017, pdf)

Hall, A. R., D. R. Osborn and N. Sakkas, 2017, The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points, Econometric Reviews, 36, 667-698. (January 2017, pdf)

Andrews, M., O. Elamin, A. R. Hall, K. Kyriakoulis and M. Sutton, 2017, Inference in the Prescence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England, Econometric Reviews, 36, 23-41. (July, 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)

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.

Hall, A. R. and A. Sen, 1999, Structural Stability Testing Based on Generalized Method of Moments Estimators, Journal of Business and Economic Statistics, 17, 335-348.

Ghysels, E., A. R. Hall and H. Lee, 1996, On Periodic Structures and Testing for Seasonal Unit Roots, Journal of the American Statistical Association, 91, 1551-1559.

Hall, A. R., G. Rudebusch and D. Wilcox, 1996, Judging Instrument Relevance in Instrumental Variables Estimation, International Economic Review, 37, 283-298.

Hall, A. R., 1994, Testing for a Unit Root with Pretest Data Based Model Selection, Journal of Business and Economic Statistics, 12, 461-470.

Ghysels, E. and A. R. Hall, 1990, Are Consumption-Based Intertemporal Capital Asset Pricing Models Structural?, Journal of Econometrics, 45 Annals 1990-3, 121-140.

Ghysels, E. and A. R. Hall, 1990, A Test for Structural Stability of Euler Parameters Estimated via the Generalized Method of Moments Estimator, International Economic Review, 31, 355-364.

Hall, A. R., 1989, Testing for a Unit Root in the Presence of Moving Average Errors, Biometrika, 76, 49-56.

Hall, A. R. 1987, The Information Matrix Test for the Linear Model, Review of Economic Studies, 54, 257-263.

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)