MethodOfMoments.jl

Welcome to the documentation site for MethodOfMoments.jl!

MethodOfMoments.jl is a Julia package for generalized method of moments (GMM) estimation. It is designed with performance in mind for estimation involving large datasets.

GMM is a versatile and widely used econometric approach for parameter estimation in economics and finance. Notably, the ordinary least squares (OLS) estimator in linear regression can be viewed as a GMM estimator with a specific form of moment conditions. More broadly, GMM allows researchers to estimate parameters in theoretical models without fully specifying the data-generating process, making it especially valuable when assumptions about the data are hard to defend.

Features

• Fast multi-threaded nonlinear iterated GMM estimation
• Specialized methods for linear GMM
• Support for Bayesian quasi-likelihood approach

Installation

MethodOfMoments.jl can be installed with the Julia package manager Pkg. From the Julia REPL, type ] to enter the Pkg REPL and run:

pkg> add MethodOfMoments