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 use the following moment conditions: 𝔼 [ 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ] = 0 𝔼 [ ( 𝑦 𝑡 − 𝛼 𝑥 𝑡 𝛽 ) 𝑥 𝑡 ] = 0 We have an i.i.d. sample with 𝑇 = 1000 observations, with ∑ 𝑡 = 1 𝑇 𝑥 𝑡 = 1123.9975 , ∑ 𝑡 = 1 𝑇 𝑥 𝑡 2 = 5379.7163 ∑ 𝑡 = 1 𝑇 𝑥 𝑡 3 = 15602.875 ∑ 𝑡 = 1 𝑇 𝑥 𝑡 4 = 81337.6911 We obtain point estimates 𝛼 ̂ = − 1 and 𝛽 ̂ = 3 . To compute the variance of the estimates, we need to estimate the matrix 𝛤 0 , 𝛤 ̂ 0 = [ 𝛤 ̂ 11 𝛤 ̂ 12 𝛤 ̂ 21 𝛤 ̂ 22 ] Then, the value 𝛤 ̂ 21 is: