DP9692 Generalized Method of Moments with Latent Variables
|Author(s):||A. Ronald Gallant, Raffaella Giacomini, Giuseppe Ragusa|
|Publication Date:||October 2013|
|Keyword(s):||particle filter, Structural models|
|JEL(s):||c32, c36, e27|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=9692|
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.