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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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HMM library, different length sequences training

I'm using the Kevin Murphy's HMM library in MATLAB(http://www.cs.ubc.ca/~murphyk/Software/HMM/hmm.html) There is a section called 'How to use the toolbox'. There is this example for GMM ouputs: <...
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670 views

Nonlinear GMM for Dynamic Panel Data

A friend of mine needs to estimate a non-linear GMM on Panel data. As I have checked, the softwares for Panel GMM only estimate linear forms (STATA gmm, xtabond, ...; R pgmm from plm package). How can ...
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1answer
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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1answer
60 views

How would I assign the optimal weight matrix to combine the following moment conditions in MM?

The following information is given: Based on a sample x(n), with n = 1,..., 100 from the exponential distribution, we want to estimate lambda but the original data was lost; we only know that 38 ...
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0answers
55 views

How to model conditional moments using an additive model

Let's say that I have the data set $(X,Y)$ where $X$ is a p-dimensional variable and $Y$ is uni dimensional. I'm interested in the following model: $$ \theta_y = E(Y|X) \\ \theta_{y^2} = E(Y^...
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1answer
956 views

Dynamic Panel models, GMM, Stata

I am writing a paper about the contribution of foreign banks to economic growth (real GDP per capita), using a panel dataset for $N=6$ countries and $T=40$ quarters. I was planning to use GMM, but I ...
11
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2answers
494 views

Explaining generalized method of moments to a non-statistician

How do I explain Generalized Methods of moments and how it is used to a non statistician? So far I am going with: it is something we use to estimate conditions such as averages and variation based ...
3
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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
409 views

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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0answers
6k views

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 ...
2
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2answers
3k views

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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1answer
2k views

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 ...
2
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0answers
621 views

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), (...
2
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1answer
246 views

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 ...
13
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1answer
2k views

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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3answers
23k views

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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1answer
2k views

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 ...
12
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1answer
4k views

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?