Original title: Zobecněná metoda momentů
Translated title: Generalized Method of Moments
Authors: Volejníková, Viktorie ; Maciak, Matúš (advisor) ; Hušková, Marie (referee)
Document type: Bachelor's theses
Year: 2022
Language: eng
Abstract: [eng] [cze]
The topic of this bachelor thesis is the Generalized Method of Moments (GMM), its asymptotic properties, and its implementations. The first chapter briefly introduces the moment conditions and the Method of Moments (MM) which is then generalized to the GMM. In the second chapter, the consistency and the asymptotic normality of the GMM are proved and the optimal weight- ing matrix of the estimator is derived. The third chapter focuses on three implementations of the GMM: the Two-Step algorithm, the Iterated algorithm, and the Continuously updating procedure. In the fourth chapter, the accuracy of the MM and the GMM estimates is investigated and the GMM implementa- tions are compared. 1 Tématem této bakalářské práce je Zobecná metoda momentů (GMM), její asympto- tické vlastnosti a její implementace. V první kapitole jsou stručně představeny momentové podmínky a Metoda momentů (MM), která je následně zobecněna na GMM. Ve druhé kapitole je dokázána konzistence a asymptotická normalita GMM a je odvozena optimální váhová matice GMM odhadu. Třetí kapitola se zaměřuje na tři implementace GMM: Two- Step, Iterated a Continuously updating algoritmy. Ve čtvrté kapitole je zkoumána přes- nost odhadů metodami GMM a MM a jsou porovnávány GMM implementace. 1
Keywords: Generalized Method of Moments|Method of Moments|moment conditions|weighting matrix|consistency|asymptotic normality|parameter estimation; Zobecněná metoda momentů|Metoda momentů|momentové podmínky|váhová matice|odhad parametru|konzistence|asymptotická normalita

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/174304

Permalink: http://www.nusl.cz/ntk/nusl-506910


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses