Search results
Results from the WOW.Com Content Network
In econometrics and statistics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models.Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the data's distribution function may not be known, and therefore maximum likelihood estimation is not applicable.
The EM algorithm consists of two steps: the E-step and the M-step. Firstly, the model parameters and the () can be randomly initialized. In the E-step, the algorithm tries to guess the value of () based on the parameters, while in the M-step, the algorithm updates the value of the model parameters based on the guess of () of the E-step.
In econometrics, the method of simulated moments (MSM) (also called simulated method of moments [1]) is a structural estimation technique introduced by Daniel McFadden. [2] It extends the generalized method of moments to cases where theoretical moment functions cannot be evaluated directly, such as when moment functions involve high-dimensional integrals.
In econometrics, the Arellano–Bond estimator is a generalized method of moments estimator used to estimate dynamic models of panel data.It was proposed in 1991 by Manuel Arellano and Stephen Bond, [1] based on the earlier work by Alok Bhargava and John Denis Sargan in 1983, for addressing certain endogeneity problems. [2]
The formula for variance now cannot be simplified: ... (GMM). Also often discussed in the literature (including White's paper) is the covariance matrix ...
GMM may refer to: Generalized method of moments, an econometric method; GMM Grammy, a Thai entertainment company; Gaussian mixture model, a statistical probabilistic ...
The formula for escape velocity can be derived from the principle of conservation of energy. For the sake of simplicity, unless stated otherwise, we assume that an object will escape the gravitational field of a uniform spherical planet by moving away from it and that the only significant force acting on the moving object is the planet's gravity.
Informally, in attempting to estimate the causal effect of some variable X ("covariate" or "explanatory variable") on another Y ("dependent variable"), an instrument is a third variable Z which affects Y only through its effect on X.