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The Generalized Method of Moments

Author

Listed:
  • Slutskin, Lev

    (Institute of Economics of the Russian Academy of Sciences (IERAS))

Abstract

We continue presenting recent achievements in econometrics not yet widely known to a Russian reader. The generalized method of moments (GMM) was introduced to econometrical research by L. Hansen in his seminal paper in 1982. The GMM is a result of unifying two main approaches to estimating model parameters — method of moments (MM) and generalized least squares (GLS). In the paper it is shown how to use the GMM in the case of a linear regression model

Suggested Citation

  • Slutskin, Lev, 2007. "The Generalized Method of Moments," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 7(3), pages 119-133.
    • Handle: RePEc:ris:apltrx:0060
    as

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    References listed on IDEAS

    as
    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. Matz Dahlberg & Eva Johansson, 2000. "An examination of the dynamic behaviour of local governments using GMM bootstrapping methods," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 401-416.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    asymptotic normality; consistent estimator; instrumental variables; method of moments;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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