• Table of Contents
    • Abstract
    • Keywords
    • Article
      • 1 Introduction
      • 2 Set-up
        • 2.1 Central limit theory and martingale approximation
        • 2.2 Minimizing a quadratic form
        • 2.3 Selection matrices
      • 3 Implementation using the objective function curvature
      • 4 Backing off from efficiency
        • 4.1 Calibration-verification
        • 4.2 Sequential estimation
      • 5 Conditional moment restrictions
      • 6 Conclusion
    • See Also
    • Bibliography
    • How to cite this article

generalized method of moments estimation

Lars Peter Hansen
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
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Generalized method of moments estimates econometric models without requiring a full statistical specification. One starts with a set of moment restrictions that depend on data and an unknown parameter vector to be estimated. When there are more moment restrictions than underlying parameters, there is family of such estimators. The tractable form of the large sample properties of this family facilitates efficient estimation and statistical testing. This article motivates the method, presents some of the underlying statistical properties and discusses implementation.
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See Also

I greatly appreciate comments from Lionel Melin, Monika Piazzesi, Grace Tsiang and Francisco Vazquez-Grande. This material is based upon work supported by the National Science Foundation under Award Number SES0519372.
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How to cite this article

Hansen, Lars Peter. "generalized method of moments estimation." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 16 January 2018 <http://www.dictionaryofeconomics.com/article?id=pde2008_G000206> doi:10.1057/9780230226203.0626

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