SOME ASPECTS OF THE GENERALIZED METHOD OF MOMENTS APPLICATION FOR TIME SERIES MODELS AND PANEL DATA MODELS

• Authors: Danska-Borsiak B
• Languages of publication: PL

Abstracts

EN

One of the most popular methods of estimation of econometric models is Ordinary Least Squares (OLS). The desired properties of the OLS estimators depend on whether the method's assumptions are true. If not, another method of estimation should be applied. An universal method, that can be applied to models, in which the normality of the error term distribution is not assumed, is the Generalized Method of Moments (GMM). One of the main advantages of GMM is that it can be used to perform inference about the parameters in nonlinear dynamic models. The main goal of this paper is to present the key elements of GMM, and one of the possibilities of using it for inference in dynamic panel models

Keywords

EN

DYNAMIC MODELS; GENERALIZED METHOD OF MOMENTS; PANEL MODELS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2008
• Volume: 55
• Issue: 3
• Pages: 47-60
• Document type: ARTICLE

Contributors

author

Danska-Borsiak B

• B. Danska-Borsiak, Uniwersytet Lódzki, Wydzial Ekonomiczno-Socjologiczny, ul. Rewolucji 1905r. nr 41, 90-214 Lódz, Poland

Identifiers

CEJSH db identifier

08PLAAAA05249934