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...

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as...

It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a...