Generalized Method of Moments
GPTKB entity
Statements (43)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
estimation method |
| gptkbp:abbreviation |
gptkb:GMM
|
| gptkbp:advantage |
does not require full distributional assumptions
|
| gptkbp:appliesTo |
linear models
nonlinear models |
| gptkbp:assumes |
valid moment conditions
|
| gptkbp:basedOn |
moment conditions
|
| gptkbp:category |
gptkb:estimation_theory
econometric models |
| gptkbp:estimatorType |
semi-parametric estimator
|
| gptkbp:field |
statistics
econometrics |
| https://www.w3.org/2000/01/rdf-schema#label |
Generalized Method of Moments
|
| gptkbp:introduced |
gptkb:Lars_Peter_Hansen
|
| gptkbp:introducedIn |
1982
|
| gptkbp:limitation |
overidentification can lead to weak instruments problem
sensitive to choice of instruments |
| gptkbp:notableFor |
time series analysis
macroeconomic models asset pricing models cross-sectional data analysis dynamic panel data models |
| gptkbp:relatedConcept |
asymptotic theory
efficient estimation estimating equations moment matching orthogonality conditions robust standard errors |
| gptkbp:relatedTo |
method of moments
maximum likelihood estimation instrumental variables |
| gptkbp:requires |
identifying restrictions
|
| gptkbp:software |
gptkb:Python
gptkb:Stata gptkb:Matlab R |
| gptkbp:testedBy |
gptkb:Hansen_J-test
overidentification test |
| gptkbp:usedFor |
parameter estimation
model estimation |
| gptkbp:bfsParent |
gptkb:Lars_Peter_Hansen
|
| gptkbp:bfsLayer |
5
|