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  • gmm estimate parameters

    I have drawn a random bivariate normal distribution.

    matrix m1 = (1,0)
    matrix c1 = (41, -22 \ -22, 6)
    drawnorm x y, n(10000) means(m1) cov(c1)

    How can I estimate the parameters of bivariate normal distribution using GMM?

    I need to store these parameters and work on the analysis.

    Any help would be much appreciated!!!
    Thanks & Regards,



  • #2
    The method of moments estimators are the sample counterparts to the population moments. E.g., you estimate Ex with the sample average, the variance with the sample variance, etc.

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