Generalized Method of Moments Estimation

Estimation of Parameters for an Extended Generalized Half Logistic Distribution Based on Complete and Censored Data

This paper considers an Extended Generalized Half Logistic distribution. We derive some properties of this distribution and then we discuss estimation of the distribution parameters by the methods of moments, maximum likelihood and the new method of minimum spacing distance estimator based on complete data. Also, maximum likelihood equations for estimating the parameters based on Type-I and Typ...

Distribution of Ratios of Generalized Order Statistics From Pareto Distribution and ‎Inference‎

‎The aim of this paper is to study distribution of ratios of generalized order statistics from pareto distribution. parameter estimation of Pareto distribution based on generalized order statistics and ratios of them have been obtained. Inferences using method of moments and unbiased estimator have been obtained to develop point estimations. Consistency of unbiased estimator has been illustrate...

The Welfare Cost of Inflation: Theory with an Application of Generalized Method of Moments (GMM) to Ira

Instrumental Variables / Method of Moments Estimation 80

The chapter discusses generalized method of moments (GMM) estimation methods for spatial models. Much of the discussion is on GMM estimation of Cliff-Ord-type models where spatial interactions are modeled in terms of spatial lags. The chapter also discusses recent developments on GMM estimation from data processes which are spatially α-mixing. I.R. Prucha Department of Economics, University of ...

L-moments and TL-moments of the generalized lambda distribution

The 4-parameter generalized lambda distribution (GLD) is a flexible distribution capable of mimicking the shapes of many distributions and data samples including those with heavy tails. The method of L-moments and the recently developed method of trimmed L-moments (TL-moments) are attractive techniques for parameter estimation for heavy-tailed distributions for which the Land TL-moments have be...

Generalized Method of Moments Estimators and Identification

D espite Emerson’s contempt for foolish consistency, consistency is not a foolish property for an estimator. Indeed, its absence would seem troubling. Who would want to admit that his or her estimator wouldn’t get the right answer with “all the data in the world”? Consequently, a widely applicable method for devising consistent estimators is a useful tool. This section develops two such tools, ...