Why and When to Use the Generalized Method of Moments

It’s a highly flexible estimation technique that can be applied in a variety of situations

Hansen (1982) pioneered the introduction of the generalized method of moments (GMM), making notable contributions to empirical research in finance, particularly in asset pricing. The creation of the model was motivated by the need to estimate parameters in economic models while adhering to the theoretical constraints implicit in the model. For example, if the economic model states that two …

data science econometrics estimations method-of-moment regression