Generalized Method of Moments (GMM) in GAUSS?

Question

Where can I find information about estimating models in GAUSS using the Generalized Method of Moments (GMM)?

aptech · Answer 1

GAUSS offers functionality for analytical estimation of instrumental variables models as well as estimation using a user-specified moment equation (procedure). You can find tutorials about GMM estimation in GAUSS here.

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schrs · Answer 2

Can the new GMM procedure of version 18 handle the linear or nonlinear systems of equations?

If then, how can i find the examples?

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2 Answers