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Questions tagged [generalized-moments]

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, cross-sectional, time-series, and panel data models.

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19 views

dynamic GMM (xtabond2) with interactions

I am trying to estimate a model using first difference GMM estimator with the xtabond2 command and I was trying to understand whether my logic was consistent. I ...
25 views

Comparison of GMM and ML estimators for regression with correlated errors

Consider a linear model with normally distributed, autocorrelated errors \begin{aligned} y&=X\beta+\varepsilon \\ \varepsilon&\sim N(0,\sigma^2_{\varepsilon}) \text{ and autocorrelated.} \end{...
34 views

Simultaneous GMM estimation: standard errors of common coefficients

So I am estimating a production function based on Wooldridge (2009) GMM adaptation of preexisting semi-parametric, 2-stage techniques. One of the upsides of GMM is simultaneous instead of sequential ...
39 views

Use of Weighting Matrix (GMM)

While conducting estimation via the Generalised Method of Moments, or GMM, I understand that we need to minimise the following expression: $Q_n(\theta)=g_n(\theta)'W_ng_n(\theta)$ Where $g_n(\theta)$...
30 views

Naming of mathematical elements in GMM?

I'm struggling with the naming of different elements in GMM. There doesn't seem to be consistency in the literature. What do we even call the moment integrand $g$? I take a stab below with help from ...
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Gaussian mixture models with constrained mixing proportions

I am fitting a Gaussian mixture model to multivariate data and my application suggests constraining the mixing proportions to lie in a pre-determined sub-space. I am curious if such an approach has ...
46 views

Are analytical derivatives unambiguously superior to numerical derivatives in GMM?

I am estimating a non-linear GMM model. In both Stata and R, you need to specify the moment equations and the instruments, but there is no need need to provide analytical derivatives for the estimator ...
2k views

Generalized method of moments estimation in R with plm and gmm

I am interested in using some of the additional features in the gmm package in R to estimate GMM in panel data. Specifically, I am interested in first estimating ...
38 views

Dynamic vs. static model

I know that the decision between a dynamic and static model is mostly based on underlying theory. However, my supervisor asked me to estimate both and thereby distinguish between short and long run ...
166 views

System GMM while Dependent Variable lies within [0, 1]

Is it possible to utilise the system GMM estimator using xtabond2 when our dependent variable lies within the interval [0, 1]. Moreover, the mass point is at around 0. Thank you, Sagnik
75 views

Fixed Effects Logit Model with a Endogenous Binary Regressor

for a research project I am looking at a model to estimate a fixed effects logit model of the type $$y_{it} = \Lambda(x_{it}'\beta +w_{it}'\theta +a_i) .$$ Now I know that I would usually do that ...
46 views

Can every identifiable model be estimated by GMM?

Assume a model with parameters $\theta$ is identifiable. Then that means that for every probability distribution over observable variables $p(x|\theta)$, there is a unique parameter value $\theta$. ...
103 views

Is it a known phenomenon for the variance of a component (GMM) to increase without stopping?

I know it can happen for it to decrease dramatically as it overfits on a single datapoint. But I've never read about a component "taking everything over". See the following images (circles are stddevs)...
160 views

Minimization Method for GMM Estimates

Which minimization method is usually used for estimating the coefficients in a GMM setting? I.e. in the following: \begin{align*} arg min_b \ g_T(b)'Wg_T(b) \end{align*} Is there any dominating ...
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2k views

How to make a GMM from a Histogram to give a probability?

I have a histogram that looks like the following: From the data, I can see that this histogram shows two obvious curves. If I make the claim that they are from two Gaussians, how can I make a ...
866 views

How to calculate BIC and AIC for a gmm model in #R using #plm?

I originally posted this question here. But I think it is better suited for here. I am running Generalized Method of Moments (GMM) Estimation for Panel Data in <...
446 views

Is there a way for gmm in R to return parameters even if the covariance matrix is numerically singular?

I'm trying to estimate a nonlinear GMM model with a large parameter space and a large data set. The numerical computation takes a extremely long time and I have been using small subsamples (which also ...
108 views

Showing that the difference of two variance matrices should be positive semi-definite… or not

I am trying to prove a result: intuitively, the GMM estimator should have a larger variance under homoskedasticity than LS and vice versa under heteroskedasticity. We are working with various ...
188 views

Can anyone suggest me a book to study GMM estimator?

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 ...
1k views

Principle of Analogy and Method of Moments

I am studying method of moments and GMM in the context of econometrics. Can someone explain on intuitive level, what does it mean to match moments? And how does this differ from the classical linear ...
180 views

difference GMM with trending variables

I want to estimate a panel equation of the form $$y_{it}=ρ y_{i,t−1}+β_1 x_{1,t}+⋯+β_k x_{k,t}+ c_i+γ_t+ϵ_{it}$$ where $c_i$ are country specific effects, $γ_t$ period effects and $ϵ_{it}$ error ...
859 views

Forced alignment HMM

I am currently trying to understand what is involved to train a Hidden Markov Model (HMM) with Forced alignment. Forced alignment, as far I understand, is to align the audio file with the utterance ...
2k views

Robustness checks for Pooled OLS, Fixed Effects, and GMM

I am investigating conditional convergence across Indian states using panel data. I include the state name, year, SDP per capita, and a number of conditioning variables such as Public Expenditure, ...
85 views

Limitation of number of features in GMM

I am new to GMM training. I could see from the link as below The main limitation of the GMM algorithm is that, for computational reasons, it can fail to work if the dimensionality of the problem ...
7k views

When to use Gaussian mixture model?

I am new to using GMMs. I was not able to find any appropriate help online. Could anyone please provide me right resource on "How to decide if using GMM fits to my problem?" or in case of ...
97 views

Identification Problem in Minimum Distance Estimation

I have the following problem with a system of minimum distance equations I want to solve. The objective is to estimate the parameters of the random variables in the following DGP:  x_t= \phi_t(\...
Given a GMM with mean $M=[M_1, M_2, ..., M_C]$ and covariance $\Sigma=[\Sigma_1, \Sigma_2, ..., \Sigma_C]$ (where $C$ is the number of mixtures), many papers on eigenvoice modeling states that the ...