Cross-Sectional Data with a Common Shock and Generalized Method of Moments
نویسندگان
چکیده
منابع مشابه
Generalized Method of Moments
This entry describes the basic framework for statistical estimation and inference using Generalized Method of Moments and also illustrates the types of empirical models in finance to which these techniques have been applied. GeneralizedMethod of Moments (GMM) provides a computationally convenientmethod of obtaining consistent and asymptotically normally distributed estimators of the parameters ...
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The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With latent variables.
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15 صفحه اولStochastic Generalized Method of Moments.
The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to th...
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ژورنال
عنوان ژورنال: Biostatistics and Biometrics Open Access Journal
سال: 2018
ISSN: 2573-2633
DOI: 10.19080/bboaj.2018.05.555674