The method of moments is based on a relation E[superscript theta[subscript 0]](h(X[subscript t, theta)) = 0, from which an estimator of theta is deduced. In many econometric models, the moment restrictions can not be evaluated numerically due to, for instance, the presence of a latent variable....

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...

This paper derives conditions under which the generalized method of moments (GMM) estimator is as efficient as the maximum likelihood estimator (MLE). The data are supposed to be drawn from a parametric family and to be stationary Markov. We study the efficiency of GMM in a general framework...