gmm

[ManualJuno11]

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