Generalized Method of Moments with Latent Variables

45 Pages Posted: 22 Oct 2013

See all articles by A. Ronald Gallant

A. Ronald Gallant

Duke University; New York University (NYU)

Raffaella Giacomini

University College London - Department of Economics; University of California, Los Angeles - Department of Economics

Giuseppe Ragusa

University of Pisa - Department of Economics and Management

Date Written: October 2013

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.

Keywords: particle filter, Structural models

JEL Classification: C32, C36, E27

Suggested Citation

Gallant, A. Ronald and Giacomini, Raffaella and Ragusa, Giuseppe, Generalized Method of Moments with Latent Variables (October 2013). CEPR Discussion Paper No. DP9692. Available at SSRN: https://ssrn.com/abstract=2343702

A. Ronald Gallant

Duke University ( email )

100 Fuqua Drive
Durham, NC 27708-0204
United States

New York University (NYU)

Bobst Library, E-resource Acquisitions
20 Cooper Square 3rd Floor
New York, NY 10003-711
United States

Raffaella Giacomini

University College London - Department of Economics ( email )

Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom

University of California, Los Angeles - Department of Economics ( email )

405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095-1361
United States

Giuseppe Ragusa

University of Pisa - Department of Economics and Management ( email )

Italy

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