Econometrics-I-22 计量经济分析（第六版英文）教材.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * Properties of the MOM Estimator Consistent? The LLN implies that the moments are consistent estimators of their population counterparts (zero) Use the Slutsky theorem to assert consistency of the functions of the moments Asymptotically normal? The moments are sample means. Invoke a central limit theorem. Efficient? Not necessarily Sometimes yes. (Gamma example) Perhaps not. Depends on the model and the available information (and how much of it is used). Generalizing the Method of Moments Estimator More moments than parameters – the overiden