Abstract

Generalized method of moments estimates econometric models without requiring a full statistical specification. One starts with a set of moment restrictions that depend on data and an unknown parameter vector to be estimated. When there are more moment restrictions than underlying parameters, there is family of such estimators. The tractable form of the large sample properties of this family facilitates efficient estimation and statistical testing. This article motivates the method, presents some of the underlying statistical properties and discusses implementation.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.