Which moments to match?

A. Ronald Gallant, George Tauchen

Research output: Contribution to journalArticle

441 Scopus citations

Abstract

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 auxiliary model that generates the score should closely approximate the distribution of the observed data, but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.

Original languageEnglish (US)
Pages (from-to)657-681
Number of pages25
JournalEconometric Theory
Volume12
Issue number4
DOIs
StatePublished - Jan 1 1996

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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