Questions tagged [gmm]
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3
questions
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0answers
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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 ...
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votes
0answers
41 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. ...
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vote
1answer
92 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 ...
