A "curse of dimensionality" arises when one tries to use the GMM based on a continuum of moments conditions to estimate a high dimensional multivariate model. The solution proposed consists of converting the high dimensional model into a continuum of auxiliary univariate models. An indirect...

The method of moments proposed by Carrasco and Florens (2000) permits to fully exploit the information contained in the characteristic function and yields an estimator which is asymptotically as efficient as the maximum likelihood estimator. However, this estimation procedure depends on a...