Continuous updating gmm estimator Dating sites belfast shagging
Several studies have examined the performance of GMM in precisely the context that I was using it in my own example. Among his conclusions (p.397): So, where does that leave us?Three relevant studies are those of Tauchen (1986), Kocherlakota (1990), and Hansen et al. I'm glad that I used the continuous-updating version of the GMM estimator in my illustration.Indeed, lots of work has been done to explore the finite-sample properties of such estimators.
Journal of Business and Economic Statistics, 4, 397-416 (plus discussion and response).
The GMM method then minimizes a certain norm of the sample averages of the moment conditions.
In a comment on a post earlier today, Stephen Gordon quite rightly questioned the use of GMM estimation with relatively small sample sizes.
The GMM estimator is weakly consistent, the "t-test" statistics associated with the estimated parameters are asymptotically standard normal, and the J-test statistic is asymptotically chi-square distributed under the null. Of course, this question applies to almost all of the estimators that we use in practice - IV, MLE, GMM, etc.
So, I'm more than sympathetic to the general point that Stephen made.