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Which Moments to Match


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


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.

Suggested Citation

  • Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  • Handle: RePEc:duk:dukeec:95-20

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    References listed on IDEAS

    1. Bergstrom, Theodore C & Rubinfeld, Daniel L & Shapiro, Perry, 1982. "Micro-Based Estimates of Demand Functions for Local School Expenditures," Econometrica, Econometric Society, vol. 50(5), pages 1183-1205, September.
    2. Paul R. Portney, 1994. "The Contingent Valuation Debate: Why Economists Should Care," Journal of Economic Perspectives, American Economic Association, vol. 8(4), pages 3-17, Fall.
    3. Richard T. Carson & W. Michael Hanemann, & Raymond J. Kopp & Jon A. Krosnick & Robert C. Mitchell & Stanley Presser & Paul A. Rudd & V. Kerry Smith & Michael Conaway & Kerry Martin, 1997. "Temporal Reliability of Estimates from Contingent Valuation," Land Economics, University of Wisconsin Press, vol. 73(2), pages 151-163.
    4. Richard T. Carson, 2011. "Contingent Valuation," Books, Edward Elgar Publishing, number 2489.
    5. Peter A. Diamond & Jerry A. Hausman, 1994. "Contingent Valuation: Is Some Number Better than No Number?," Journal of Economic Perspectives, American Economic Association, vol. 8(4), pages 45-64, Fall.
    6. W. Michael Hanemann, 1994. "Valuing the Environment through Contingent Valuation," Journal of Economic Perspectives, American Economic Association, vol. 8(4), pages 19-43, Fall.
    7. Carson, R.T. & Mitchell, R.C. & Hanemann, W.M. & Kopp, R.J. & Presser, S. & Ruud, P.A., 1992. "A Contingent Valuation Study of Lost Passive Use Values Resulting From the Exxon Valdez Oil Spill," MPRA Paper 6984, University Library of Munich, Germany.
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