The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Which Moments to Match?
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.
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Clark, P. K. (1973) · Econometrica · doi:10.2307/1913889 · Cited by 2,779
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
Modelling the persistence of conditional variances
Engle, R. F., & Bollerslev, T. (1986) · Econometric Reviews · doi:10.1080/07474938608800095 · Cited by 2,058
Cited by
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Y., & Kimmel, R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.10.006 · Cited by 538
The dynamics of stochastic volatility: evidence from underlying and options markets
Jones, C. S. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00107-6 · Cited by 503
Deviance Information Criterion for Comparing Stochastic Volatility Models
Berg, A., Meyer, R., & Yu, J. (2004) · Journal of Business & Economic Statistics · doi:10.1198/073500103288619430 · Cited by 292
Dufour, J.-M. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.06.007 · Cited by 264
Metadata
- Authors
- Gallant, A. R., & Tauchen, G.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1996-10
- Volume
- 12
- Issue
- 4
- Pages
- 657-681
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W3122150532
- Cited by
- 988
- References
- 39
- FWCI
- 25.33
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
