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...

SNP is a method of nonparametric time series analysis. The method employs a polynomial series expansion to approximate the conditional density of a multivariate process. An appealing feature of the expansion is that it directly nests familiar models such as a pure VAR, a pure ARCH, a nonlinear...

A common model for security price dynamics is the continuous time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...

We introduce reprojection as a general purpose technique for characterizing the observable dynamics of a partially observed nonlinear system. System parameters are estimated by method of moments wherein moments implied by the system are matched to moments implied by the transition density for...

This Guide shows how to use the computer package EMM, whicih implements the estimator described in "Which Moments to Match" (Gallant and Tauchen, 1994). The term EMM refers to Efficient Method of Moments. The Guide provides an overview of the estimator, instructions on how to acquire the...

We describe an intuitive, simple, and systematic approach to generating moment conditions for 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 auxiliary model that generates the...

We describe a simulated method of moments estimator that is implemented by choosing the vector valued moment function to be the expectation under the structural model of the score function of an auxiliary model, where the parameters of the auxiliary model are eliminated by replacing them with...