Numerous studies have been devoted to estimating and testing of moment condition models. Most of the current literature assumes that structural parameters are either fixed or changed abruptly. This paper considers the estimating and testing for smooth structural changes in moment condition...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a...

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...

A general estimation approach combining the attractive features of method of moments with the efficiency of ML is proposed. The moment conditions are computed via the characteristic function. The two major difficulties with the implementation is that one needs to use an infinite set of moment...

In this book the author surveys new techniques in econometrics which may be used to analyse semiparametric models. As well as covering topics such as instrumental variable estimation, nonparametric density and regression function estimation and semiparametric limited dependent variable models,...

We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under...