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dc.contributor.author Ronald Gallant, A
dc.contributor.author Tauchen, G
dc.date.accessioned 2010-06-28T18:49:47Z
dc.date.issued 1996-12-01
dc.identifier.citation Econometric Theory, 1996, 12 (4), pp. 657 - 681
dc.identifier.issn 0266-4666
dc.identifier.uri http://hdl.handle.net/10161/2542
dc.description.abstract 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 auxiliary model that generates the score should closely approximate the distribution of the observed data, but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily. © 1996 Cambridge University Press.
dc.format.extent 657 - 681
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Econometric Theory
dc.title Which moments to match?
dc.type Journal Article
dc.department Economics
pubs.issue 4
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Faculty
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 12

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