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We propose a novel optimal transport-based version of the Generalized Method of Moment (GMM). Instead of handling overidentified models by reweighting the data until all moment conditions are satisfied (as in Generalized Empirical Likelihood methods), this method proceeds by introducing...
Persistent link: https://www.econbiz.de/10013393496
We propose a novel optimal transport-based version of the Generalized Method of Moment (GMM). Instead of handling overidentified models by reweighting the data until all moment conditions are satisfied (as in Generalized Empirical Likelihood methods), this method proceeds by introducing...
Persistent link: https://www.econbiz.de/10014302509
This paper introduces a general method to convert a model defined by moment conditions involving both observed and unobserved variables into equivalent moment conditions involving only observable variables. This task can be accomplished without introducing infinite-dimensional nuisance...
Persistent link: https://www.econbiz.de/10009767942
Persistent link: https://www.econbiz.de/10015196591
Persistent link: https://www.econbiz.de/10010404630