An Introduction to the Generalized Method of Moments (GMM)

The video gives a short general introduction to generalized method of moments. First, the moment conditions and sample moment conditions are presented in general terms. Second, identification is discussed. Third, the generalized method of moments (GMM) estimator is briefly presented.

[@MortenNyboeTabor]

Unfortunately, I made a small notational mistake at the end. I write the quadratic form as a function of the weight matrix, Q_{T}(W_{T}). It should have been written as a function of the parameter vector instead: Q_{T}(theta).

[@hitchhiker4250]

I have to agree with the other comments here.
This explanation was both very clear and helpful.
Thank you for posting!

[@omarkanaan7515]

Thank you, Morten, very helpful and clear!

[@manzooranoori2536]

Thanks a lot for explaining the idea behind every part.

[@hoanguyenthithanh8568]

Dear sir,
I have a question. When we estimate the GMM model, do we need to care about multicollinearity?

[@roxieshi5832]

Very helpful! Thanks a lot!

[@wanjadouglas3058]

This was extremely helpful. Thank you

[@andrewncube283]

Thank you for this explanation. Could you please the name of the software that you use here

[@wanjadouglas3058]

This is very helpful

[@TKraus-sh9is]

Cool. Thanks!