no code implementations • 25 Aug 2023 • Xiaohong Chen, Sokbae Lee, Yuan Liao, Myung Hwan Seo, Youngki Shin, Myunghyun Song
We introduce a new class of algorithms, Stochastic Generalized Method of Moments (SGMM), for estimation and inference on (overidentified) moment restriction models.
no code implementations • 25 Aug 2020 • Xiaohong Chen, Sokbae Lee, Myung Hwan Seo, Myunghyun Song
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions with high dimensional conditioning instruments.