The Generalized Method of Moments
We continue presenting recent achievements in econometrics not yet widely known to a Russian reader. The generalized method of moments (GMM) was introduced to econometrical research by L. Hansen in his seminal paper in 1982. The GMM is a result of unifying two main approaches to estimating model parameters - method of moments (MM) and generalized least squares (GLS). In the paper it is shown how to use the GMM in the case of a linear regression model.