Optimal Model Averaging Based on Generalized Method of Moments
نویسندگان
چکیده
منابع مشابه
Generalized Method of Moments and Optimal Instruments
Part A reviews the basic estimation theory of the generalized method of moments (GMM) and Part B deals with optimal instrumental variables. 1 For the most part, we restrict attention to iid observations. Linear Regression Economists often use linear regression to quantify a relationship between economic variables. A linear regression between y and x is a relationship of the form y = x 0 β + ε (...
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15 صفحه اولGeneralized 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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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2021
ISSN: 1017-0405
DOI: 10.5705/ss.202019.0230