Generalized Method of Moments
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- 5 Rating
- 2 Reviews
- 11 Students Enrolled
Generalized Method of Moments
Introduction of Generalized Method of Moments (GMM) including the motivation, methodology and application in finance.
-
- 5 Rating
- 2 Reviews
- 11 Students Enrolled
Requirements
- None
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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Meet the instructors !
About the Instructor
PhD candidate in Southwestern University of Finance and Economics, visiting PhD in Humboldt University of Berlin