Generalized Method of Moments

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Generalized Method of Moments

Introduction of Generalized Method of Moments (GMM) including the motivation, methodology and application in finance.

  • 5 Rating
  • 2 Reviews
  • 8 Students Enrolled
  • Free
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2 components

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General Overview

Description

Generalized Method of Moments (GMM) is a generic method for estimating parameters in statistical models, whereas the data's distribution function may not be known. In this course, we will mainly focus on the efficient GMM estimator as well as the test statistic and the application in finance (with R),

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About the Instructor

PhD candidate in Southwestern University of Finance and Economics, visiting PhD in Humboldt University of Berlin

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