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Generalized Method of Moments

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Advanced Methods for Modeling Markets

Part of the book series: International Series in Quantitative Marketing ((ISQM))

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Abstract

The generalized method of moments (GMM) is a conceptually simple and flexible estimation method that has come to play an increasingly prominent role in empirical research in economics over the last 30 years. Application of GMM requires the availability of so-called moment equations or moment conditions. There should be at least as many moment equations as there are parameters to be estimated. If this condition is satisfied (plus some regularity conditions), application of GMM is in principle straightforward and delivers estimators for the parameters that are consistent and asymptotically normal. If desired, the estimators can in addition be made asymptotically efficient given the available moment equations, that is, have the lowest achievable variance or highest precision asymptotically.

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Acknowledgements

The author is grateful to Erik Meijer for his ever incisive and stimulating comments. He benefited greatly from comments and suggestions by Jochem de Bresser, Marnik Dekimpe, Pim Heijnen, Peter Leeflang, Laura Spierdijk, Roberto Wessels and the students in my Applied Econometrics course.

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Authors and Affiliations

  1. Department of Economics, Econometrics & Finance, Faculty of Economics and Business, University of Groningen, Groningen, The Netherlands

    Tom J. Wansbeek

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  1. Tom J. Wansbeek
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Correspondence to Tom J. Wansbeek .

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Editors and Affiliations

  1. Department of Marketing, University of Groningen, Groningen, The Netherlands

    Peter S. H. Leeflang

  2. Department of Marketing, University of Groningen, Groningen, The Netherlands

    Jaap E. Wieringa

  3. Department of Marketing, University of Groningen, Groningen, The Netherlands

    Tammo H.A Bijmolt

  4. Department of Marketing, D’Amore-McKim School of Business, Northeastern University, Boston, USA

    Koen H. Pauwels

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Wansbeek, T.J. (2017). Generalized Method of Moments. In: Leeflang, P., Wieringa, J., Bijmolt, T., Pauwels, K. (eds) Advanced Methods for Modeling Markets. International Series in Quantitative Marketing. Springer, Cham. https://doi.org/10.1007/978-3-319-53469-5_15

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