I need to learn GMM (Generalized Method of Moments) estimator to replicate a paper for my Research Workshop class. I have a very limited background in Econometrics and Statistics. Where should I exactly start to study from?

  • $\begingroup$ I'm voting to close this question as off-topic because it deals with references and not a substantive question. $\endgroup$ – Michael Chernick Jun 1 '17 at 2:16
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    $\begingroup$ @MichaelChernick Then, where and how should I ask this question? $\endgroup$ – user10321 Jun 1 '17 at 2:20
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    $\begingroup$ @MichaelChernik So what is the purpose of the references tag? Automatically flag questions for closing? $\endgroup$ – hejseb Jun 1 '17 at 4:18
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    $\begingroup$ I think this is on-topic (else why the references tag?) $\endgroup$ – kjetil b halvorsen Jun 1 '17 at 8:15

I recommend Hayashi, Econometrics, which develops many estimation techniques from a method-of-moments perspective, highlighting that and how estimators like OLS, IV, 2SLS, 3SLS, SUR and others can be seen as special cases of GMM.


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