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GMM Applications in Econometrics by Frann Ara is a document available to read on EtoBox.
What is GMM Applications in Econometrics about?
- Generalized method of moments (GMM) is an estimation technique that extends the method of moments approach to allow for more moment conditions than parameters. - GMM optimally weights multiple sample moment conditions to obtain an estimator with minimal asymptotic variance. This provides more efficient estimation than using a single moment condition. - For example, in a linear regression with heteroskedastic errors, GMM can improve on ordinary least squares by adding moment conditions related to the cond
- Author
- Frann Ara
- Language
- EN