Generalized Method of Moments: Statistics, Point estimation, Statistical model, Lars Peter Hansen, Estimating equation, Method of moments (statistics), Econometrics - Couverture souple

Couverture souple

ISBN 10 : 6133867574 ISBN 13 : 9786133867574

Editeur : Alphascript Publishing, 2010

Synopsis

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. The generalized method of moments (GMM) is a very general statistical method for obtaining estimates of parameters of statistical models. It is a generalization, developed by Lars Peter Hansen, of the method of moments. The term GMM is very popular among econometricians but is hardly used at all outside of economics, where the slightly more general term estimating equations is preferred. A typical econometric problem can be formulated in the following terms: Suppose available data consists of a large number of i.i.d. observations , where each observation Yt is an n-dimensional multivariate random variable. Our knowledge of economics dictates a certain econometric model for this data. Such model is usually defined only up to some parameter, which we will denote by θ ∈ Θ. Our main goal is to seek the “true� value of this parameter, θ0, or at least to find a reasonably close estimate.

Détails de l'édition

• Éditeur: Alphascript Publishing
• Date d'édition: 2010
• Langue: anglais
• ISBN 10: 6133867574
• ISBN 13: 9786133867574
• Reliure: Broché
• Nombre de pages: 96
• Éditeur: Miller Frederic P., Vandome Agnes F., McBrewster John
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible