Generalized Method of Moments with Latent Variables

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With latent variables.

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Year of publication:	2013-10
Authors:	Gallant, A. Ronald ; Giacomini, Raffaella ; Ragusa, Giuseppe
Institutions:	C.E.P.R. Discussion Papers
Subject:	particle filter \| Structural models

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9692
Classification:	C32 - Time-Series Models ; c36 ; E27 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011083999