One of the most popular methods of estimation of econometric models is Ordinary Least Squares (OLS). The desired properties of the OLS estimators depend on whether the method's assumptions are true. If not, another method of estimation should be applied. An universal method, that can be applied to models, in which the normality of the error term distribution is not assumed, is the Generalized Method of Moments (GMM). One of the main advantages of GMM is that it can be used to perform inference about the parameters in nonlinear dynamic models. The main goal of this paper is to present the key elements of GMM, and one of the possibilities of using it for inference in dynamic panel models
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