Generalized Method of Moments Estimation

Abstract

These notes are a non-technical introduction to the method of estimation popularized by Hansen and others, commonly referred to as Generalized Method of Moments. Theoretical issues are mentioned but not discussed thoroughly and no proofs are given (nor are assumptions fully stated): see Hansen (1982), Chamberlain (1987), and the texts by Ruud (2000) and Davidson and MacKinnon (1993) for details on these. The emphasis here is on explication of the basic method and notes on how to perform this kind of estimation in TSP.