Generalized method of moments (gmm), Advanced Statistics

Generalized method of moments (gmm) is the estimation method popular in econometrics which generalizes the method of the moments estimator. Essentially same as what is known as the estimating functions in statistics. The maximum likelihood estimator and the instrumental variables estimator are the special cases.

Posted Date: 7/28/2012 3:55:35 AM | Location : United States







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