Generalized method of moments
E1046128
The generalized method of moments is an econometric estimation technique that uses sample moments to infer model parameters without requiring full specification of the underlying probability distribution.
Statements (49)
| Predicate | Object |
|---|---|
| instanceOf |
econometric estimation method
ⓘ
method of moments estimator ⓘ statistical estimation method ⓘ |
| abbreviation | GMM ⓘ |
| allows |
more moment conditions than parameters
ⓘ
overidentified models ⓘ |
| appliedIn |
finance
ⓘ
industrial organization ⓘ labor economics ⓘ macroeconomics ⓘ |
| associatedTest |
Hansen J test
NERFINISHED
ⓘ
overidentifying restrictions test ⓘ |
| assumes |
central limit theorem for sample moments
ⓘ
law of large numbers ⓘ |
| basedOn |
moment conditions
ⓘ
sample moments ⓘ |
| canHandle |
autocorrelation
ⓘ
heteroskedasticity ⓘ |
| coreIdea | choose parameters so that sample moments match theoretical moments implied by the model ⓘ |
| doesNotRequire | full specification of the underlying probability distribution ⓘ |
| field |
econometrics
ⓘ
statistics ⓘ |
| generalizes | classical method of moments ⓘ |
| hasLimitation |
finite-sample bias
ⓘ
sensitivity to choice of instruments ⓘ sensitivity to choice of weighting matrix ⓘ |
| hasProperty |
asymptotic normality of estimators
ⓘ
consistency under correct specification of moment conditions ⓘ efficiency when optimal weighting matrix is used ⓘ |
| input |
sample data
ⓘ
theoretical moment conditions ⓘ |
| introducedBy | Lars Peter Hansen NERFINISHED ⓘ |
| introducedInYear | 1982 ⓘ |
| optimizationCriterion | quadratic form in sample moment conditions ⓘ |
| output |
estimated covariance matrix of parameters
ⓘ
parameter estimates ⓘ |
| publishedIn | Econometrica NERFINISHED ⓘ |
| relatedTo |
generalized empirical likelihood
ⓘ
instrumental variables estimation ⓘ |
| requires | valid instruments when regressors are endogenous ⓘ |
| specialCase | two-stage least squares ⓘ |
| usedFor |
estimation of Euler equations
ⓘ
estimation of asset pricing models ⓘ estimation of dynamic panel data models ⓘ |
| uses |
estimating equations
ⓘ
weighting matrix ⓘ |
| variant |
dynamic panel GMM
ⓘ
linear GMM ⓘ nonlinear GMM ⓘ |
Referenced by (1)
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