Finite Sample Properties of the Efficient Method of Moments

@article{Chumacero1997FiniteSP,
  title={Finite Sample Properties of the Efficient Method of Moments},
  author={R{\'o}mulo A. Chumacero},
  journal={Studies in Nonlinear Dynamics \& Econometrics},
  year={1997},
  volume={2}
}
Gallant and Tauchen (1996) describe an estimation technique, known as Efficient Method of Moments (EMM), that uses numerical methods to estimate parameters of a structural model. The technique uses as matching conditions (or moments, in the GMM jargon) the gradients of an auxiliary model that fits a subset of variables that may be simulated from the structural model.This paper presents three Monte Carlo experiments to assess the finite sample properties of EMM. The first one compares it with a… Expand

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