In statistics and econometrics, optimal instruments are a technique for improving the efficiency of estimators in conditional moment models, a class of semiparametric models that generate conditional expectation functions. To estimate parameters of a conditional moment model, the statistician can derive an expectation function (defining "moment conditions") and use the generalized method of moments (GMM).
In statistics and econometrics, optimal instruments are a technique for improving the efficiency of estimators in conditional moment models, a class of semiparametric models that generate conditional expectation functions. To estimate parameters of a conditional moment model, the statistician can derive an expectation function (defining "moment conditions") and use the generalized method of moments (GMM).
Source: Wikipedia "Optimal instruments" · CC BY-SA 4.0
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