| Generalized Method of Moments Estimation: A Time Series Perspective (2007) | |||||||||||||||
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| This entry describes empirical methods for estimating dynamic economic systems using time-series data. By design, the methods target specific feature of the dynamic system and do not require a complete specification of the time-series evolution. The resulting generalized-method-of-moments estimation and inference methods use estimating equations implied by some components of a dynamic economic system. This entry describes the statistical methods and some applications of these methods. 1 | |||||||||||||||
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