Generalized Method of Moments - Scope

Scope

Many other popular estimation techniques can be cast in terms of GMM optimization:

  • Ordinary Least Squares (OLS) is equivalent to GMM with moment conditions:
  • Generalized Least Squares (GLS)
  • Instrumental variables regression (IV)
  • Non-linear Least Squares (NLLS):
  • Maximum likelihood estimation (MLE):

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