A variety of methods are used in econometrics to estimate models consisting of a single equation. The oldest and still the most commonly used is the ordinary least squares method used to estimate linear regressions. A variety of methods are available to estimate non-linear models. Single Equation Linear GMM Consider the linear regression model Analytic Solution: Overidentiﬁed Model If then are equations in unknowns. In general, there is no solution to the estimating equations S. An estimator is said to be a best linear unbiased estimator (BLUE) if the following hold: 1) It is linear, that is, a linear function of a random variable, such as the dependent variable Y in the regression model.