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- Generalized_method_of_moments abstract "In econometrics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models. Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the distribution function of the data may not be known, and therefore maximum likelihood estimation is not applicable.The method requires that a certain number of moment conditions were specified for the model. These moment conditions are functions of the model parameters and the data, such that their expectation is zero at the true values of the parameters. The GMM method then minimizes a certain norm of the sample averages of the moment conditions.The GMM estimators are known to be consistent, asymptotically normal, and efficient in the class of all estimators that do not use any extra information aside from that contained in the moment conditions.GMM was developed by Lars Peter Hansen in 1982 as a generalization of the method of moments which was introduced by Karl Pearson in 1894. Hansen shared the 2013 Nobel Prize in Economics in part for this work.".
- Generalized_method_of_moments wikiPageExternalLink gmm.pdf.
- Generalized_method_of_moments wikiPageExternalLink 4.
- Generalized_method_of_moments wikiPageExternalLink etsug_model_sect035.htm.
- Generalized_method_of_moments wikiPageExternalLink ev7features.html.
- Generalized_method_of_moments wikiPageExternalLink i260360.
- Generalized_method_of_moments wikiPageExternalLink rgmm.pdf.
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- Generalized_method_of_moments wikiPageWikiLink Alternative_hypothesis.
- Generalized_method_of_moments wikiPageWikiLink Arellano–Bond_estimator.
- Generalized_method_of_moments wikiPageWikiLink Asymptotic_distribution.
- Generalized_method_of_moments wikiPageWikiLink Category:Econometrics.
- Generalized_method_of_moments wikiPageWikiLink Category:Estimation_theory.
- Generalized_method_of_moments wikiPageWikiLink Chi-squared_distribution.
- Generalized_method_of_moments wikiPageWikiLink Compact_space.
- Generalized_method_of_moments wikiPageWikiLink Confidence_interval.
- Generalized_method_of_moments wikiPageWikiLink Consistent_estimator.
- Generalized_method_of_moments wikiPageWikiLink Convergence_of_random_variables.
- Generalized_method_of_moments wikiPageWikiLink Econometrica.
- Generalized_method_of_moments wikiPageWikiLink Econometrics.
- Generalized_method_of_moments wikiPageWikiLink Efficiency_(statistics).
- Generalized_method_of_moments wikiPageWikiLink Efficient_estimator.
- Generalized_method_of_moments wikiPageWikiLink Ergodic_process.
- Generalized_method_of_moments wikiPageWikiLink Estimator.
- Generalized_method_of_moments wikiPageWikiLink Expected_value.
- Generalized_method_of_moments wikiPageWikiLink Generalized_empirical_likelihood.
- Generalized_method_of_moments wikiPageWikiLink Generalized_least_squares.
- Generalized_method_of_moments wikiPageWikiLink Identity_matrix.
- Generalized_method_of_moments wikiPageWikiLink Independent_and_identically_distributed_random_variables.
- Generalized_method_of_moments wikiPageWikiLink Instrumental_variable.
- Generalized_method_of_moments wikiPageWikiLink Karl_Pearson.
- Generalized_method_of_moments wikiPageWikiLink Lars_Peter_Hansen.
- Generalized_method_of_moments wikiPageWikiLink Law_of_large_numbers.
- Generalized_method_of_moments wikiPageWikiLink Mathematical_optimization.
- Generalized_method_of_moments wikiPageWikiLink Maximum_likelihood.
- Generalized_method_of_moments wikiPageWikiLink Method_of_moments_(statistics).
- Generalized_method_of_moments wikiPageWikiLink Multivariate_random_variable.
- Generalized_method_of_moments wikiPageWikiLink Neil_Smelser.
- Generalized_method_of_moments wikiPageWikiLink Nobel_Memorial_Prize_in_Economic_Sciences.
- Generalized_method_of_moments wikiPageWikiLink Non-linear_least_squares.
- Generalized_method_of_moments wikiPageWikiLink Norm_(mathematics).
- Generalized_method_of_moments wikiPageWikiLink Null_hypothesis.
- Generalized_method_of_moments wikiPageWikiLink Ordinary_least_squares.
- Generalized_method_of_moments wikiPageWikiLink Parameter.
- Generalized_method_of_moments wikiPageWikiLink Parameter_identification_problem.
- Generalized_method_of_moments wikiPageWikiLink Positive-definite_matrix.
- Generalized_method_of_moments wikiPageWikiLink Projection_(linear_algebra).
- Generalized_method_of_moments wikiPageWikiLink Quantile.
- Generalized_method_of_moments wikiPageWikiLink Rank_(linear_algebra).
- Generalized_method_of_moments wikiPageWikiLink Semiparametric_model.
- Generalized_method_of_moments wikiPageWikiLink Stationary_process.
- Generalized_method_of_moments wikiPageWikiLink Statistical_hypothesis_testing.
- Generalized_method_of_moments wikiPageWikiLink Statistical_model.
- Generalized_method_of_moments wikiPageWikiLink Statistical_parameter.
- Generalized_method_of_moments wikiPageWikiLink Stochastic_process.
- Generalized_method_of_moments wikiPageWikiLink Transpose.
- Generalized_method_of_moments wikiPageWikiLink Vector-valued_function.
- Generalized_method_of_moments wikiPageWikiLink Method_of_Moments.
- Generalized_method_of_moments wikiPageWikiLinkText "GMM".
- Generalized_method_of_moments wikiPageWikiLinkText "Generalized method of moments".
- Generalized_method_of_moments wikiPageWikiLinkText "Generalized method of moments#J-test".
- Generalized_method_of_moments wikiPageWikiLinkText "generalized method of moments".
- Generalized_method_of_moments wikiPageWikiLinkText "method of moments".
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- Generalized_method_of_moments subject Category:Econometrics.
- Generalized_method_of_moments subject Category:Estimation_theory.
- Generalized_method_of_moments hypernym Method.
- Generalized_method_of_moments type Software.
- Generalized_method_of_moments type Econometric.
- Generalized_method_of_moments type Field.
- Generalized_method_of_moments type Redirect.
- Generalized_method_of_moments comment "In econometrics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models. Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the distribution function of the data may not be known, and therefore maximum likelihood estimation is not applicable.The method requires that a certain number of moment conditions were specified for the model.".
- Generalized_method_of_moments label "Generalized method of moments".
- Generalized_method_of_moments sameAs Q683131.
- Generalized_method_of_moments sameAs Método_de_los_momentos_generalizado.
- Generalized_method_of_moments sameAs Metodo_generalizzato_dei_momenti.
- Generalized_method_of_moments sameAs 一般化モーメント法.
- Generalized_method_of_moments sameAs Método_dos_momentos_generalizado.
- Generalized_method_of_moments sameAs m.06b8g9.
- Generalized_method_of_moments sameAs Q683131.
- Generalized_method_of_moments sameAs 广义矩估计.
- Generalized_method_of_moments wasDerivedFrom Generalized_method_of_moments?oldid=708169176.
- Generalized_method_of_moments isPrimaryTopicOf Generalized_method_of_moments.