Advanced econometrics

Chapter 10 : Method of moments and GMM

By Lund University

Method of moments and GMM

Generalized method of moments

Method of moments estimator

Generalized method of moments estimator

The generalized instrumental variables estimator

Testing for endogeneity

Overidentifying restrictions test

The generalized IV when r = k

Two-stage least squares

IV in Stata and MATLAB

Simplest method of moments estimator

Elementary zero function

The generalized instrumental variables estimator

GIV and the optimal weighting matrix

Deriving the generalized instrumental variables estimator