Lecture

Generalized Method of Moments (GMM)

In course

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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.

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Instructor

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Official source

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

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Statistics

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Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

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