Generalized Method of Moments (GMM) in GAUSS?

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

2 Answers


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.


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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