Generalized method of moments
Método de los momentos generalizado
- Date
- 1982 · confidence high
- Place
- Chicago, Illinois, United States
- Credited to
- Lars Peter Hansen
- Field
- Knowledge & symbols
What was discovered
Statistical method for estimating parameters of econometric models from moment conditions, without needing to know the full data distribution; generalizes the classical method of moments and least squares.
What it led to
- Widespread use in econometrics and asset pricing models
- Nobel Memorial Prize in Economics (2013) to Lars Peter Hansen
- Basis for many modern econometric estimators