![]() ![]() These moment conditions are functions of the model parameters and the data, such that their expectation is zero at the parameters' true values. The method requires that a certain number of moment conditions be specified for the model. ![]() 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. In econometrics and statistics, the generalized method of moments ( GMM) is a generic method for estimating parameters in statistical models. Parameter estimation technique in statistics, particularly econometrics ![]()
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