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Results tagged with generalized-moments
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user 97925
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.
7
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Could the covariance matrix of the moment conditions in GMM be ill-conditioned?
From what you've told me, I would almost certainly predict that if you: (1) ran standard two stage least squares estimator and (2) tried to compute robust standard errors, then some of the standard er …
- 23k
2
votes
Minimization Method for GMM Estimates
It entirely depends on the form of the moment conditions! You can end up with everything from a simple, quadratic programming problem to some horrible, non-convex objective. (As a side note, a key div …
- 23k