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Generalized Method of Moments and Empirical Likelihood

Guido W. Imbens
Journal of Business & Economic Statistics
Vol. 20, No. 4, JBES Twentieth Anniversary Issue on the Generalized Method of Moments (Oct., 2002), pp. 493-506
Stable URL: http://www.jstor.org/stable/1392419
Page Count: 14
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Generalized Method of Moments and Empirical Likelihood
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Abstract

Generalized method of moments (GMM) estimation has become an important unifying framework for inference in econometrics in the last 20 years. It can be thought of as encompassing almost all of the common estimation methods, such as maximum likelihood, ordinary least squares, instrumental variables, and two-stage least squares, and nowadays is an important part of all advanced econometrics textbooks. The GMM approach links nicely to economic theory where orthogonality conditions that can serve as such moment functions often arise from optimizing behavior of agents. Much work has been done on these methods since the seminal article by Hansen, and much remains in progress. This article discusses some of the developments since Hansen's original work. In particular, it focuses on some of the recent work on empirical likelihood--type estimators, which circumvent the need for a first step in which the optimal weight matrix is estimated and have attractive information theoretic interpretations.

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