Generaliseret momentmetode (GMM) estimering
Den generaliserede momentmetode er en generel økonometrisk estimator, der udvinder parametre fra populationsmomentbetingelser, introduceret af Lars Peter Hansen i 1982. Den anvendes bredt til instrumentvariabel-estimering, dynamiske paneldatamodeller (Arellano-Bond estimatoren) og tidsserieanvendelser.
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Method map
The neighbourhood of related methods — select a node to explore.
Kilder
- Hansen, L. P. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), 1029-1054. DOI: 10.2307/1912775 ↗
- Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. The Review of Economic Studies, 58(2), 277-297. DOI: 10.2307/2297968 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 1). Generalized Method of Moments Estimation. ScholarGate. https://scholargate.app/da/econometrics/gmm-estimation
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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- Almindelig mindste kvadraters metode (OLS) regressionØkonometri↔ compare
- Panel Data Fixed Effects ModelØkonometri↔ compare
- Tobit-modellen for censurerede udfaldØkonometri↔ compare
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