This chapter describes generalized method of moments (GMM) estima-tion for linear and non-linear models with applications in economics and finance. In pdf values of the Gaussian mixture distribution gm, evaluated at X, returned as an n -bynumeric vector, where n is the number of observations in X. The pdf function computes In this section, we shall demonstrate the use of GMM for PDF modeling. For the first example, we shall use GMM for modeling the probability density function of a 1D data, as