# Tagged Questions

generalized-moments stands for the econometric technique of "generalized method of moments", a method of quadratically combining multiple "generalized moments", or "estimating equations", to obtain parameter estimates, their standard errors, and test statistics in single and multiple-equation, ...

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### Estimation parameters using Generalized Method of Moments and Generalized Empirical Likelihood with R

I have two density functions: $h_{1}(x)$, $h_{2}(x)$. I want to estimate parameters from one dataset using $h_{1}$ and $h_{2}$ andthe GMM estimator or the GEL : from the article "Computing ...
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### Granger Causality Testing With Panel Data

I'm trying to apply a Granger Causality test to panel data. I've found enough literature to understand that topic. However, I've been unable to find and R package to carry out that analysis. I'm ...
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### Linear regression with fat-tailed errors

I'm testing a linear model that explains stock returns with some contemporaneous factors; the model is assumed to satisfy OLS assumptions except that the errors (i.e., unexplained stock returns) have ...
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### Generalized method of moments versus standard least squares estimation

I was thinking that in a very standard case such as a simple linear model with iid errors and no endogeneity, I would get the same results using the a simple least square estimate (such as provided by ...
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### A special case of GMM estimation in R

I want to estimate the forward looking version of the Taylor rule equation using the iterative nonlinear GMM: I have the data for all the variables in the model, namely (inflation rate), ...
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### Using GMM Estimation in R

Trying to use the GMM package in R to estimate the parameters (a-f) of a linear model: LEV1 = a*Macro + b*Firm + c*Sector + d*qtr + e*fqtr + f*tax Macro, Firm ...
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### Question about a derivative of the 2nd-step moments in a two-step estimator as a joint GMM-estimators approach

I'm reading Newey & McFadden - Large sample estimation and hypothesis testing (in the Handbook of Econometrics, Volume 4, 1994, page 2176). In the model I'm interestend in has some former ...
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### Using generalized method of moments (GMM) to calculate logistic regression parameter

I want to calculate coefficients to a regression that is very similar to logistic regression (Actually logistic regression with another coefficient:  \frac{A}{1 + e^{- (b_0 + b_1 x_1 + b_2 x_2 + ...
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### When should one consider using GMM?

One of the things which makes econometrics unique is the use of the Generalized Method of Moments technique. What types of problems make GMM more appropriate than other estimation techniques? What ...
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### Forecasting unemployment rate with plm

Please see question for the background. Following the advice of @kwak and @Andy W, I have decided to use the package plm in R to fit my model. Here an excerpt of ...
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### What is the difference/relationship between method of moments and GMM?

Can someone explain to me the difference between method of moments and GMM (general method of moments), their relationship, and when should one or the other be used?