Generalised method of moments with latent variables

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 latent variables.

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Year of publication:	2013
Authors:	Gallant, A. Ronald ; Giacomini, Raffaella ; Ragusa, Giuseppe
Publisher:	London : Centre for Microdata Methods and Practice (cemmap)
Subject:	Momentenmethode \| Multivariate Analyse \| Theorie \| Generalized Method of Moments \| Latent Variables \| Structural Models \| Particle Filter

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Series:	cemmap working paper ; CWP50/13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.1920/wp.cem.2013.5013 [DOI] 769167004 [GVK] hdl:10419/97389 [Handle] RePEc:ifs:cemmap:50/13 [RePEc]
Classification:	C32 - Time-Series Models ; c36 ; E27 - Forecasting and Simulation
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010368208