Thornton, Daniel L. (contributor) - 2003 - [Elektronische Ressource]
), i.e.,
(6) (()ILy
tt
−=Θ η
for yrr
t t
m
t
n
= ′( , ) . GMM estimation imposes orthogonality conditions of the form … sample moment condition,
(7) g
T
gz
Tt
t
T
() ( ,)θθ≡
=
∑
1
1
,
GMM estimation proceeds by choosing θ to mimimize the … estimation, then the estimated
Lagrange multipliers should be significantly different from zero. The asymptotic
distributions …