The Generalized Method of Moments

Lev Slutskin

Applied Econometrics, 2007, vol. 7, issue 3, 119-133

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

Keywords: asymptotic normality; consistent estimator; instrumental variables; method of moments (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2007
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