The Generalized Method of Moments in the Bayesian Framework and a Model and Moment Selection Criterion

@inproceedings{Kim2000TheGM,
  title={The Generalized Method of Moments in the Bayesian Framework and a Model and Moment Selection Criterion},
  author={Jae-Young Kim},
  year={2000}
}
While the classical framework has a rich set of limited information procedures such as GMM and other related methods, the situation is not so in the Bayesian framework. We develop a limited information procedure in the Bayesian framework that does not require the knowledge of the full likelihood. The developed procedure is a Bayesian counterpart of the classical GMM but has advantages over the classical GMM for practical applications. The necessary limited information for our approach is a set… CONTINUE READING