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Results tagged with generalized-moments
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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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Do generalized linear models really need to assume the distribution of errors? [duplicate]
A GLM has the following form:
$$
g(\mathbb E[Y\mathop | X])=X^T\beta
$$
where $g$ is the link function. We can write the moment conditions as
$$
Y=g^{-1}(X^T\beta)+\varepsilon,\\
\mathbb E[X^T\varepsi …
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