Generalized method of moments
In econometrics and statistics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models. Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the data's distribution function may not be known, and therefore maximum likelihood estimation is not applicable.
Generalized method of moments - Wikipedia Jump to content From Wikipedia, the free encyclopedia Parameter estimation technique in statistics, particularly econometrics For other uses of "method of moments", see method of moments (disambiguation) . Generalized method of moments ( GMM ) in econometrics and statistics is a generic method for estimating parameters in statistical models . Usually it is applied in the context of semiparametric models , where the parameter of interest is finite-dimensional, whereas the full shape of the data's distribution function may not be known, and therefore max
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