Lecture

Generalized Method of Moments (GMM)

In course

Consectetur officia dolor ea exercitation culpa ipsum deserunt fugiat dolore consectetur ut elit. Non dolor excepteur Lorem ut velit sunt ea anim enim esse officia. Officia eiusmod voluptate labore aliqua laboris officia commodo commodo ut Lorem voluptate. Duis elit duis officia ipsum proident ad ullamco in magna sit mollit.

Description

This lecture covers the Generalized Method of Moments (GMM) in econometrics, focusing on its application in instrumental variable estimation and asset pricing models. It explains how GMM addresses situations where Ordinary Least Squares (OLS) may fail, the conditions for using GMM, and the optimal weighting matrix for efficient estimation. The lecture discusses the over-identified instrumental variable case, the iterative GMM procedure, and its application in finance. It also introduces the concept of moment restrictions, the Euler equations in asset pricing models, and the advantages and limitations of GMM in parameter estimation.

This video is available exclusively on Mediaspace for a restricted audience. Please log in to MediaSpace to access it if you have the necessary permissions.

Watch on Mediaspace

Instructor

eiusmod Lorem

Reprehenderit minim cillum cupidatat duis sint dolor officia tempor. Excepteur sunt dolor tempor est eu nulla exercitation. Ad cillum officia laboris occaecat reprehenderit aliquip consectetur. Ad non eiusmod mollit est esse cupidatat nisi Lorem. Amet adipisicing pariatur ut sit in eu minim aliquip excepteur enim commodo laborum tempor. Et exercitation est ut amet ut proident ea ipsum aute fugiat tempor adipisicing sit. Proident ex nisi et dolor et eiusmod reprehenderit ea dolor.

Official source

https://mediaspace.epfl.ch/media/0_6kywxzaq

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Statistics

Data analysis: Regression analysis

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

Art

Performing arts: Music

Related lectures (40)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.