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EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide

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Author Info
Tauchen, George E.
Gallant, A. Ronald

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Abstract

This Guide shows how to use the computer package EMM, whicih implements the estimator described in "Which Moments to Match" (Gallant and Tauchen, 1994). The term EMM refers to Efficient Method of Moments. The Guide provides an overview of the estimator, instructions on how to acquire the software, and a description of the package. It also walks the reader through a worked example.

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File URL: http://www.econ.duke.edu/Papers/Abstracts/abstract.95.27.html
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Publisher Info
Paper provided by Duke University, Department of Economics in its series Working Papers with number 95-27.

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Date of creation: 1995
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Handle: RePEc:duk:dukeec:95-27

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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://www.econ.duke.edu/

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

Cited by:
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  1. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO. [Downloadable!]
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This page was last updated on 2009-10-29.

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