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...

The fixed parameters of the nonlinear mixed effects model and the density of the random effects are estimated jointly by maximum likelihood. The density of the random effects is assumed to be smooth but is otherwise unrestricted. The method uses a series expansion that follows from the...

The SNP estimator is the most convenient nonparametric method for simultaneously estimating the parameters of a nonlinear model and the density of a latent process by maximum likelihood. To determine if this convenience comes at a price, we assess the qualitative behavior of SNP in finite...

Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that...

This paper summarizes comments at the Panel Discussion on Calibration at the Seventh World Congress of the Econometric Society, Keio University, Tokyo, Japan, 22-29 August 1995.

We describe a computationally intensive methodology for the estimation and analysis of partially observable nonlinear systems. An example from epidemiology is the SEIR model, which is a system of differential equations with random coefficients that describe a population in terms of four state...

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates non-nested model comparisons and use a long data set...