Timeline for Differences between GMM and MSM?
Current License: CC BY-SA 3.0
6 events
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| Feb 26, 2018 at 19:50 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| Feb 26, 2018 at 19:48 | comment | added | Richard Hardy | @Anoldmaninthesea., because we do not use the sample, we use a simulated sample instead. At this stage sample analogues do not enter the picture yet. At this stage you have the theoretical analytic quantity in GMM and theoretical simulated quantity in SMM. But I am no expert in this method, so perhaps my answer is indeed not so clear. But I find it easier with an example. Say the population moment is 5, then the function will be moment-5=0. Whether you calculate the value 5 analytically or simulate it makes the difference between GMM and SMM. | |
| Feb 26, 2018 at 19:35 | comment | added | An old man in the sea. | Richard, thanks for the answer. I'm not sure I understand what you're trying to say. So, you're saying that in MSM we must use some estimator $\hat m ( . )$ for function $m$? If so, then why is this different from the sample analogues also used in GMM? | |
| Feb 26, 2018 at 18:15 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| Feb 26, 2018 at 17:57 | history | edited | Richard Hardy | CC BY-SA 3.0 |
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| Feb 26, 2018 at 17:51 | history | answered | Richard Hardy | CC BY-SA 3.0 |