GMM Estimators

GMM (Generalized Method of Moments) estimators are a statistical tool used to estimate parameters of a model based on sample data. They rely on certain moment conditions, which are equations that relate the model’s parameters to observable data (like averages or correlations). By finding parameter values that best satisfy these conditions across the data, GMM provides flexible, efficient estimates, especially when the data or model are complex. It's a method that uses the information available in the data to infer underlying relationships without requiring full knowledge of the probability distribution.