General gmm formula Let y, be an h-vector of variables that are observed at date t, let 0 denote an unknown vector of coefficients, h(e, y,) Be an r-vector real function let 0 denote true value of 8, and suppose this true value is characterized by the property that Eh(eo, 3)=0 A sample of size T is Y=(T,yr-1m,y1) Denote sample average of he,)isg(￥Y)=∑Mn) The gmm estimator 0, is the value of 0 that minimizes the scalar Q(;Yn)=[g(62,Y7)W[8(G,Y) Where W is a sequence of positive definite matrices which may be a function of sampleGeneral GMM formula • Let be an h-vector of variables that are observed at date t, let θ denote an unknown vector of coefficients, • Be an r-vector real function. Let denote true value of θ, and suppose this true value is characterized by the property that • A sample of size T is • Denote sample average of is • The GMM estimator is the value of that minimizes the scalar t y ( , )t h θ y θ 0 { ( , ) } 0 E h θ 0 yt = ( ', ',..., ') 1 1 y y y ΥT = T T − ( , )t h θ y ( ; ) [ ( ; )]' [ ( ; )] T T T T Q θ Υ = g θ Υ W g θ Υ ( , ) 1 ( , ) 1 ∑= Υ = T t T t h y T g θ θ θ T ˆ θ Where is a sequence of positive definite matrices which may be a function of sample WT