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- Mon Dec 09, 2013 5:02 am
- Forum: Estimation
- Topic: gmm
- Replies: 0
- Views: 1348
gmm
Heey, I have problem set in which the following problem is stated. - y is an arma(1,1) model - By using the following moments(E(y), E(y^2) E(y*y_t-1) E(e^2) we are going to estimate two model by GMM with a constant and inaltion as instruments. 1: ar(1) (y-u)=ø(y_t-1 - u) +e_t E(e)=0 E(e^2)=sigma^2