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Generalized Method of Moments Estimation

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The New Palgrave Dictionary of Economics

Abstract

Generalized method of moments estimates econometric models without requiring a full statistical specification. One starts with a set of moment restrictions that depend on data and an unknown parameter vector to be estimated. When there are more moment restrictions than underlying parameters, there is family of such estimators. The tractable form of the large sample properties of this family facilitates efficient estimation and statistical testing. This article motivates the method, presents some of the underlying statistical properties, and discusses implementation.

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Acknowledgements

I greatly appreciate comments from Lionel Melin, Monika Piazzesi, Grace Tsiang, and Francisco Vazquez-Grande. This material is based upon work supported by the National Science Foundation under Award Number SES0519372.

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  1. Org. Name, London, UK

    Lars Peter Hansen

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  1. Lars Peter Hansen
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    Hansen, L.P. (2017). Generalized Method of Moments Estimation. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2486-2

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    • DOI: https://doi.org/10.1057/978-1-349-95121-5_2486-2

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    • Publisher Name: Palgrave Macmillan, London

    • Print ISBN: 978-1-349-95121-5

    • Online ISBN: 978-1-349-95121-5

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    Chapter history

    1. Latest

      Generalized Method of Moments Estimation
      Published:
      15 June 2017

      DOI: https://doi.org/10.1057/978-1-349-95121-5_2486-2

    2. Original

      Generalized Method of Moments Estimation
      Published:
      27 December 2016

      DOI: https://doi.org/10.1057/978-1-349-95121-5_2486-1

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