A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
نویسندگان
چکیده
منابع مشابه
Generalized Method of Moments
This entry describes the basic framework for statistical estimation and inference using Generalized Method of Moments and also illustrates the types of empirical models in finance to which these techniques have been applied. GeneralizedMethod of Moments (GMM) provides a computationally convenientmethod of obtaining consistent and asymptotically normally distributed estimators of the parameters ...
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Though often not explicitly stated, the method of moments is one of the heavily used methods in queueing analysis. A typical, tagged customer is traced as it proceeds through the system and the components of its delay are individually analyzed. Using the moments of these components, moments of the sojourn and waiting times of an arbitrary customer can be derived. By this method, expected values...
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The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to th...
متن کاملGeneralized Method of Moments Estimation
2. In practice, researchers find it useful that GMM estimators can be constructed without specifying the full data generating process (which would be required to write down the maximum likelihood estimator.) This has been the case in the study of single equations in a simultaneous system, in the study of potentially misspecified dynamic models designed to match target moments, and in the constr...
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We provide an approach for learning deep neural net representations of models described via conditional moment restrictions. Conditional moment restrictions are widely used, as they are the language by which social scientists describe the assumptions they make to enable causal inference. We formulate the problem of estimating the underling model as a zero-sum game between a modeler and an adver...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2020
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2020.1730858