# 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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### Dynamic panel data with large $T$

Given a data set with $N=2634$ and $T=92$, I want to estimate a dynamic model. My first though was to use a classic System GMM estimator, however digging through the literature it turned out that ...
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### Dynamic panel data model with AR(2) process in the errors

I set up the following dynamic panel data model: $$y_{it}=\alpha y_{it-1}+x_{it}^T\beta+v_{it}$$ Additionally, I have the process in the errors: $$v_{it}=\rho_1u_{it-1}+\rho_2u_{it-2}+\epsilon_{it}$$ ...
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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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### 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{...