IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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.

To 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.

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

as
in new window

Length:
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/

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:duk:dukeec:95-20. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Department of Economics Webmaster)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.