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...

The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...