Consider the following nonlinear regression model: 𝑦 𝑡 = 𝛼 𝑥 𝑡 𝛽 + 𝜀 𝑡 Assume i.i.d. data and 𝔼 [ 𝜀 𝑡 | 𝑥 𝑡 ] = 0 . To estimate 𝛼 and 𝛽 by GMM, we need two moment conditions. Choose the best answer below: 单项选择题

A

The two moments are 𝔼 [ 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ] = 0 𝔼 [ 𝑦 𝑡 − 𝑥 𝑡 𝛽 ] = 0

B

The two moments are 𝔼 [ 𝑦 𝑡 − 𝑥 𝑡 𝛽 ] = 0 𝔼 [ 𝑥 𝑡 𝛼 𝑥 𝑡 𝛽 ] = 0

C

The two moments are 𝔼 [ 𝑦 𝑡 𝛼 𝑥 𝑡 𝛽 ] = 0 𝔼 [ ( 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ) ] = 𝔼 ( 𝜀 𝑡 )

D

There is not enough information to write two moment conditions.

E

The two moments are 𝔼 [ 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ] = 0 𝔼 [ ( 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ) log ( 𝑥 𝑡 ) ] = 0

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