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.