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What is the formula for finding the minimum distance estimator and how does it differ from GMM? Also, do you know of any good resources on MD? Can't find any besides my textbook. Thanks!

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  • $\begingroup$ What is your textbook? $\endgroup$ Commented May 26 at 18:42

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I cannot tell what the difference between minimum distance estimator (MDE) and GMM is, but there is some discussion of MDE and some further references in

  1. chapters 8 and 9 of Hansen "Econometrics" (2022),
  2. chapter 13 of Greene Econometric Analysis (8th edition) and
  3. chapter 14 of Wooldridge "Econometric Analysis of Cross Section and Panel Data" (2nd edition)
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