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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.
An example application of the method of moments is to estimate polynomial probability density distributions. In this case, an approximating polynomial of order is defined on an interval [,]. The method of moments then yields a system of equations, whose solution involves the inversion of a Hankel matrix. [2]
To estimate parameters of a conditional moment model, the statistician can derive an expectation function (defining "moment conditions") and use the generalized method of moments (GMM). However, there are infinitely many moment conditions that can be generated from a single model; optimal instruments provide the most efficient moment conditions.
In statistics, the method of estimating equations is a way of specifying how the parameters of a statistical model should be estimated.This can be thought of as a generalisation of many classical methods—the method of moments, least squares, and maximum likelihood—as well as some recent methods like M-estimators.
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]
Examples of variance structure specifications include independence, exchangeable, autoregressive, stationary m-dependent, and unstructured. The most popular form of inference on GEE regression parameters is the Wald test using naive or robust standard errors, though the Score test is also valid and preferable when it is difficult to obtain ...
Generalized method of moments, an econometric method; GMM Grammy, a Thai entertainment company; Gaussian mixture model, a statistical probabilistic model; Google Map Maker, a public cartography project; GMM, IATA code for Gamboma Airport in the Republic of the Congo; Good Mythical Morning, an online morning talk show hosted by YouTubers, Rhett ...
Method of moments may refer to: Method of moments (electromagnetics), a numerical method in electromagnetics, also referred to as boundary element method in other fields; Method of moments (statistics), a method of parameter estimation in statistics; Method of moments (probability theory), a way of proving convergence in distribution in ...
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