Gallant, A. Ronald Giacomini, Raffaella Ragusa, Giuseppe
Year of Publication:
cemmap working paper, Centre for Microdata Methods and Practice CWP50/13
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.
Generalized Method of Moments Latent Variables Structural Models Particle Filter