Generalized Method of Moments (GMM)
GAUSS 18 expands GAUSS estimation tools to include the versatile generalized method of moments method. GMM provides a flexible tool for estimation across a variety of models ranging from linear to nonlinear to dynamic panel data models.
Choose from two new GMM procedures!
- gmmFit provides full modeling flexibility including user-specified moment equations.
- gmmFitIV provides the analytic generalized method of moments estimates of instrumental variables models.
GAUSS GMM procedures provide new robust, efficient and customizable tools including:
- One-step, two-step, iterative, and continuously updating generalized method of moments estimation.
- Optional instrumental variables.
- Standard error and weight matrix options including standard, heteroskedastic robust, and HAC robust.
- Flexible initial weight matrix specification.