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Stochastic Generalized Method of Moments. [PDF]
J Comput Graph Stat, 2011 The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function.
Yin G, Ma Y, Liang F, Yuan Y.
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Analyzing dwell times with the Generalized Method of Moments. [PDF]
PLoS ONE, 2019 The Generalized Method of Moments (GMM) is a statistical method for the analysis of samples from random processes. First developed for the analysis of econometric data, the method is here formulated to extract hidden kinetic parameters from measurements ...
Sadie Piatt, Allen C Price
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Generalized Methods of Trimmed Moments [PDF]
SSRN Electronic Journal, 2009 High breakdown-point regression estimators protect against large errors and data contamination. We adapt and generalize the concept of trimming used by many of these robust estimators so that it can be employed in the context of the generalized method of
Cizek, P.
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Modified generalized method of moments for a robust estimation of polytomous logistic model [PDF]
PeerJ, 2014 The maximum likelihood estimation (MLE) method, typically used for polytomous logistic regression, is prone to bias due to both misclassification in outcome and contamination in the design matrix. Hence, robust estimators are needed.
Xiaoshan Wang
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Computing Generalized Method of Moments and Generalized Empirical Likelihood with R [PDF]
Journal of Statistical Software, 2010 This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the R package gmm. A brief discussion is offered on the theoretical aspects of both methods and the functionality of the package ...
Pierre Chaussé
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Estimating functions and the generalized method of moments. [PDF]
Interface Focus, 2011 Estimating functions provide a very general framework for statistical inference, and are particularly useful when one is either unable or unwilling to specify a likelihood function. This paper aims to provide an accessible review of estimating function theory that has potential for application to the analysis and modelling of a wide range of complex ...
Jesus J, Chandler RE.
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Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation [PDF]
Economics Letters, 2007 This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a ...
Jean-Bernard Chatelain
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The Generalized Method of Moments [PDF]
Applied Econometrics, 2007 We continue presenting recent achievements in econometrics not yet widely known to a Russian reader. The generalized method of moments (GMM) was introduced to econometrical research by L. Hansen in his seminal paper in 1982.
Slutskin, Lev
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Remittances, institutional quality and investment in Sub-Saharan Africa [PDF]
Journal of Business and Socio-Economic Development, 2023 Purpose – This paper investigates the relationship between remittances, institutional quality and investment in Sub-Saharan African (SSA) countries using data from 2004 to 2018.
Umar Mohammed, Erdal Tanas Karagöl
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Evaluating the Efficiency and Robustness of Beta and Stochastic Discount Factor Methods in Iranian Stock Market [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2022 Extensive applications of asset pricing in the fields of finance and economics lead to an increasing importance of this issue, which has attracted more attentions of researchers in theoretical and empirical aspects. Due to this issue, the main purpose of
Hossein Talakesh Naeini +3 more
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