Generalized method moments statistics (1 résultats)

Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Please note that the content of this book primarily consists of articlesavailable from Wikipedia or other free sources online. The generalizedmethod of moments (GMM) is a very general statistical method forobtaining estimates of parameters of statistical models. It is ageneralization, developed by Lars Peter Hansen, of the method ofmoments. The term GMM is very popular among econometricians but ishardly used at all outside of economics, where the slightly more generalterm estimating equations is preferred. A typical econometric problemcan be formulated in the following terms: Suppose available dataconsists of a large number of i.i.d. observations , where eachobservation Yt is an n-dimensional multivariate random variable. Ourknowledge of economics dictates a certain econometric model for thisdata. Such model is usually defined only up to some parameter, which wewill denote by ¿ ¿ ¿. Our main goal is to seek the 'true' value of thisparameter, ¿0, or at least to find a reasonably close estimate.…