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Discussion Paper Details

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Title: Generalized Method of Moments with Latent Variables

Author(s): A. Ronald Gallant, Raffaella Giacomini and Giuseppe Ragusa

Publication Date: October 2013

Keyword(s): particle filter and Structural models

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Gallant, A, Giacomini, R and Ragusa, G. 2013. 'Generalized Method of Moments with Latent Variables'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9692