Applications of Generalized Method of Moments Estimation
نویسندگان
چکیده
منابع مشابه
Applications of Generalized Method of Moments Estimation
T he method of moments approach to parameter estimation dates back more than 100 years (Stigler, 1986). The notion of a moment is fundamental for describing features of a population. For example, the population mean (or population average), usually denoted m, is the moment that measures central tendency. If y is a random variable describing the population of interest, we also write the populati...
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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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11 THE GMM ESTIMATION 2 11.1 Consistency and Asymptotic Normality . . . . . . . . . . . . . . . . . . . . . 3 11.2 Regularity Conditions and Identification . . . . . . . . . . . . . . . . . . . . . 4 11.3 The GMM Interpretation of the OLS Estimation . . . . . . . . . . . . . . . . . 5 11.4 The GMM Interpretation of the MLE . . . . . . . . . . . . . . . . . . . . . . . 6 11.5 The GMM Estimation ...
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This article surveys J. D. Sargan’s work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is discussed. His approach to efficiency, his minimax estimator, tests of overidentification and underidentific...
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ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2001
ISSN: 0895-3309
DOI: 10.1257/jep.15.4.87