Hi,

I read your GMM note and it is very helpful to understand this estimator. I can go through with the examples of MLE and OLS but I find I have no idea about what is the data moment and the model moment for moment conditions that are driven from an unconditional expectation, e.g. 𝐸[𝜀 * IVs]=0. I know the moment in code can be m = e.T @ IVs @ IVs.T @ e and then I can optimize m to get the parameters. But I don't know how to do a 2-step GMM in such case.

Thanks.