Which Moments to Match
AbstractWe describe an intuitive, simple, and systematic approach to generating moment conditions for GMM estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions, but the likelihood cannot be computed easily.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Duke University, Department of Economics in its series Working Papers with number 95-20.
Date of creation: 1995
Date of revision:
Publication status: Published in ECONOMETRIC THEORY, Vol. 12, 1996, pages 657-681
Contact details of provider:
Postal: Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097
Phone: (919) 660-1800
Fax: (919) 684-8974
Web page: http://econ.duke.edu/
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading lists or Wikipedia pages:
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Department of Economics Webmaster).
If references are entirely missing, you can add them using this form.