Sunday, May 12, 2013

What's Your Favourite Estimator?

It's interesting to dwell on the popularity of different estimators that econometricians use. Some estimators are "in vogue" for a period, and then give way to others as new developments come along. Different topics have captured the attention of theoreticians and practitioners alike at different times in history.

Here's a Google Ngram showing the extent to which some familiar estimators for simultaneous equations models have been mentioned in books since 1960:

Not too surprisingly, good old OLS just goes on and on:

I was going to include the GMM estimator in these plots, but this acronym has meanings other than the obvious one that comes to mind. So, the results would have been misleading. To be safe, let's use the full phrase Generalized Method of Moments and allow for case sensitivity:

Interestingly, the phrase appeared in some books before the publication of Hansen's classic 1982 paper.

© 2013, David E. Giles


  1. Most books spell out what GMM stands for before using the acronym, right? So couldn't you just do a search for 'generalized method of moments'? The results seem reasonable to me:

  2. Thanks - I've included that now.


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