Generalized method of moments: 두 판 사이의 차이
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[[Ordinary least square (OLS)]] and [[instrumental variable (IV)]] estimators can be seen as special cases of GMM. In an OLS regression <math>y_i = \beta x_i + \epsilon_i</math>, the assumption <math>\mathbb{E}(x_i \epsilon_i) = 0</math> is a moment condition. The OLS estimator can be derived by setting the sample analogue: | [[Ordinary least square (OLS)]] and [[instrumental variable (IV)]] estimators can be seen as special cases of GMM. In an OLS regression <math>y_i = \beta x_i + \epsilon_i</math>, the assumption <math>\mathbb{E}(x_i \epsilon_i) = 0</math> is a moment condition. The OLS estimator can be derived by setting the sample analogue: | ||
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<math>\frac{1}{N}\sum_i x_i (y_i - \hat\beta x_i) = 0</math> | <math>\frac{1}{N}\sum_i x_i (y_i - \hat\beta x_i) = 0</math> | ||
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== References == | == References == | ||
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