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  • Tauchen, George E.
  • Gallant, A. Ronald

Abstract

We 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.

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Bibliographic Info

Paper provided by Duke University, Department of Economics in its series Working Papers with number 95-20.

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Date of creation: 1995
Date of revision:
Publication status: Published in ECONOMETRIC THEORY, Vol. 12, 1996, pages 657-681
Handle: RePEc:duk:dukeec:95-20

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/

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