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 ...

Object segmentation is a challenging task in image processing and computer vision. In this paper, we present a visual attention based segmentation method to segment small sized interesting objects in natural images. Different from the traditional methods, we first search the region of interest by using our novel saliency-based method, which is mainly based on band-pass filtering, to obtain the ...

This paper considers the estimation of dynamic models for panel data. It shows how to count and express the moment conditions implied by a variety of covariance restrictions. These conditions can be imposed in a GMM framework. Many of the moment conditions are nonlinear in the parameters. We derive a simple linearized estimator that is asymptotically as efficient as the nonlinear GMM estimator,...

When the object of the statistical analysis is the estimation of an economic model, the choice of a likelihood function should be coherent with the economic model under investigation. Many econometric models provides the researcher with weak “structural prediction” about the parameter of interest and the data. Econometric models specified through moment conditions and usually estimated by Gener...

We develop a generalized method of moments (GMM) estimator for the distribution of a variable where summary statistics are available only for intervals of the random variable. Without individual data, one cannot calculate the weighting matrix for the GMM estimator. Instead, we propose a simulated weighting matrix based on a first-step consistent estimate. When the functional form of the underly...

A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed by means of a simulation study. The results of an application to a time series of daily returns on t...