Generalized method of moments

Estimated Poisson Probability Distribution Functions

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.

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