Questions tagged [gmm]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
2 votes
1 answer
92 views

Two step Generalized Method of Moments (Newey 1994). $\hat{W}$ matrix depending on the nuisance parameter

Suppose that I am working in a model containing a nuisance parameter $h$ and a finite dimensional parameter of interest $\theta$, whose true values are $h_0$ and $\theta_0$, respectively. Newey (1994) ...
mich95's user avatar
  • 131
0 votes
0 answers
65 views

Using GMM to estimate ordered probit

I'm following this article: https://blog.stata.com/2016/09/13/an-ordered-probit-inverse-probability-weighted-ipw-estimator/ In the "Using gmm to solve the multistep estimation problem" ...
gintoki sakata's user avatar
2 votes
0 answers
47 views

How do we choose appropriate moment conditions for GMM estimation?

In certain conditions, especially with just-identified models, the appropriate moment conditions are in some sense obvious. This is the case, for instance, when we recover parameters from the linear ...
Yashaswi Mohanty's user avatar
0 votes
0 answers
26 views

Hybrid New Keynesian philips curve model - inflation expectation

I am doing research on the HNKPC model following Gali and Gertler 1999 as per the picture. I do not understand how to get the inflation expectations. Could I get more insight on how to perform this ...
Vishali's user avatar
0 votes
0 answers
84 views

Why Euler equation holds for any asset i and t

Intuitively the Euler equation sets the marginal loss in utility from saving an additional unit of wealth in the current period equal to the marginal gain in expected discounted utility from consuming ...
Lucas's user avatar
  • 1
3 votes
0 answers
55 views

Structural Estimation, Simulations, and Initial Values

I want to estimate model parameters and fear about the impact of initial values of simulations. Short model overview Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
Alex's user avatar
  • 323
1 vote
2 answers
93 views

Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
Maria's user avatar
  • 21
3 votes
0 answers
102 views

GMM Estimation with HAC Weight Matrix in R

I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
jotheta's user avatar
  • 31
0 votes
0 answers
56 views

Estimate a Monetary Policy Reaction Function with Generalized Method of Moments

I want to estimate a Monetaryu Policy Reaction function with GMM. I have well understood how to estimate a distribution (e.g. the normal distribution, the log-normal distribution, and so on) with GMM. ...
Khairon's user avatar
  • 43
1 vote
1 answer
144 views

Finding consistent but inefficient GMM estimate

Consider the following linear model $$y_t = x_t' \beta +u_t$$ where $t =1,...,T$ and $x_t = (x_{1t} x_{2t} ... x_{kt})'$ , $ \beta$ is $k \times 1$ vector of unknown coefficients, $u_t$ is an iid ...
studentp's user avatar
  • 120