Stochastic generalized method of moments

Guosheng Yin, Yanyuan Ma, Faming Liang, Ying Yuan

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online.

Original languageEnglish (US)
Pages (from-to)714-727
Number of pages14
JournalJournal of Computational and Graphical Statistics
Volume20
Issue number3
DOIs
StatePublished - Oct 5 2011

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Statistics, Probability and Uncertainty

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