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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.
Download as PDF; Printable version; ... (Θ = R in this example), ... Generalized method of moments estimator is defined through the objective function ^ ...
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.
1.1 Relationship with Generalized Method of Moments. 2 Computation. 3 See also. ... Download as PDF; Printable version ... Examples of variance structure ...
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]
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]
Download as PDF; Printable version; ... Generalized method of moments; ... Sample mean and covariance; Small area estimation;
Download as PDF; Printable version; In other projects ... Generalized method of moments; H. Hamburger moment problem; Hausdorff moment problem; I. Isserlis' theorem; K.