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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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Unit roots and GMM estimation

I want to estimate panel models of the following structure: $y_{it} = \rho y_{i,t-1} + \beta_1 x_1 + \dots + \beta_k x_k + c_i + \gamma_t + \epsilon_{it}$, where $c_i$ are time constant country ...
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353 views

How to do model testing in Indirect Inference/Simulated/General Method of Moments

I have a model estimated via indirect inference, so I have a set of auxiliary moment conditions. What I am doing is very similar to Method of Simulated Moments. I want to do a couple of ...
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Dynamic Panel/GMM in R with group:time fixed effects? [closed]

Is there a solution coded in R to estimate models of the form $$ y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt} $$ ? ...
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1answer
1k views

Gradient in GMM estimation

I have a question that might be trivial but I have not much knowledge on that method: I want to estimate a structural model with GMM and my model works in the sense that it estimated the right ...
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0answers
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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{...
1
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1answer
185 views

Deriving a restricted efficient GMM estimator with common coefficients

I'm having a bit of trouble in doing exercise 3. For us to compare with Pooled OLS, and Random effects model, it seems that we must assume that we're under conditional homoskedasticity, and the set of ...