GMM (Generalized Method of Moments) Explained

This is a short video on the Generalized Method of Moments. Hope it helps!

[@gueyenono]

I have not yet come across an explanation for GMM which is as simple to understand as this. Thank you very much.

[@chinhhoang454]

Best simple explaination of GMM I've seen so far. Thank you!

[@pedrocolangelo5844]

I'm so glad that I reached this video. It was very simple to understand it!

[@tadeuszfurykiewicz1987]

Very good and easy to understand material. Thanks for your work!

[@kimiyamaleki8368]

This video was simply explained thank you so much. God bless you!

[@victorurbina8186]

If tomorrow I get a good grade would be bc of u thx so much

[@user-wr4yl7tx3w]

Really well explained. Thank you

[@jwbpark]

Video on difference meaning of convergences would be great. Covergence in probability vs convergence in distribution vs etc.....

[@dilinijayasinghe8134]

Please do a video on convergence in probability and convergence in distribution, if possible covering chebyshev's inequality etc. It would be very helpful. Thanks!

[@peterho5778]

Awesome, simple and to the point, very easy to understand. I have two quick questions: 1. May I say GMM is a way to calculate variance? 2. It is kind of silly question, is there any reason we only use the 2nd and the 4th moment equations?

[@FinAndEcon]

1. It is a way to find an ESTIMATOR for variance, that is an important distinction in statistics. 2. No, in theory we could use infinite moments. However it turns out that there is a trade off between bias and variance of the estimator: If we use too many moments, our estimator variance increases. Thus, there are moment selection criteria (reference is Hansen 1987) to select the optimal number of moments.

[@peterho5778]

@@FinAndEcon Wow, thank you for your prompt reply providing useful information and great explanation.

[@r.barakat8758]

Great effort! Can you please make the same for OLS estimators? Many thanks in advance?

[@FinAndEcon]

I will put it on my list :)

[@user-wr4yl7tx3w]

Can you explain the connection between GMM and OLS

[@diogo.luis90]

Hello, thank you for explanation. But I believe it should be 3*sigma^4, and not 3*sigma^2, no?

[@JP-uf6cd]

Hi these a great question I am pondering, does anyone have a definitive answer?