We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (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...

It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a...