Generalized Method of Moments with Latent Variables

Raffaella Giacomini (), Giuseppe Ragusa () and A. Gallant

No 9692, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: 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.

Keywords: Structural models; Particle filter (search for similar items in EconPapers)
JEL-codes: C32 C36 E27 (search for similar items in EconPapers)
Date: 2013-10
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Generalized method of moments with latent variables (2013)
Working Paper: Generalized method of moments with latent variables (2013)
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