14.1. Generalized method of moments (GMM): Introduction
HTML-код
- Опубликовано: 10 фев 2025
- 14.1. Generalized method of moments (GMM): Introduction
본 영상은 Generalized method of moments (GMM)이 개발된 이유와 기초 개념에 대하여 설명하고, GMM방식으로 추정된 estimator의 분포를 derive한다.
This video explains the basics of GMM, presents why GMM estimation is useful, and derives the distribution of GMM estimator.
Click the following link to get the lecture note presented during the video.
drive.google.c...
★ Reference:
[1] Time series analysis, James D. Hamilton Princeton University Press, 1994.
[2] Hansen, Lars Peter. "Large sample properties of generalized method of moments estimators." Econometrica: Journal of the econometric society (1982): 1029-1054.
