Which Moments to Match?

B-Tier
Journal: Econometric Theory
Year: 1996
Volume: 12
Issue: 4
Pages: 657-681

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.

Technical Details

RePEc Handle
repec:cup:etheor:v:12:y:1996:i:04:p:657-681_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25