![]() A more general class ofĮstimators based on moment functions has shown to exhibit desirableĪsymptotic or large sample properties. Moments are used to describe the characteristics of a distribution, and much of statistical estimation focuses on the problem of moment functions (or, orthogonality conditions).įurther, a function of moments is also a moment. Where ll(θ|X) is the log-likelihood function with unknown parameters θ introduced earlier. A moment function is defined as the expectation of someĬontinuous vector-valued function m of a random variable X with a parameter The alternative to the maximum likelihood estimation of a probabilityĭistribution for a random variable is to formulate and estimate the momentįunctions. Nonlinear Generalized Method of Moments (GMM) Vinod, Elsevier Science Publishers, North-Holland, 1993, 455-488. Ogaki, "Generalized Method of Moments: Econometric Applications,"Īnd H. "Generalized Instrumental Variables Estimation of Nonlinear RationalĮconometrica 50, 1982, 1269-1286 ( Paper). Vinod, Elsevier Science Publishers, North-Holland, 1993, 393-417. ![]() Hall, "Some Aspects of Generalized Method of Moments Estimation," Of Financial Markets, Chapter 12: Nonlinearities in Financial Data, Greene, Econometric Analysis, 7th Ed.,Ĭhapter 13: Minimum Distance Estimation and the Generalized Method of Moments, Prentice-Hall, 2012. Nonlinear Generalized Method of Moments (GMM)Ī Nonlinear Rational Expectation Model Readings and References:.Topic 5 Generalized Method of Moments (GMM) Table of Contents
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