GMM
GMM with Latent Variables
Giuseppe Ragusa (LUISS)
Riccardo Faini CEIS Seminars
Riccardo Faini CEIS Seminars
When
Friday, May 29, 2015 h. 12:00-13:30
Where
Room B - 1st floor
Description
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. Drawing from the results from different papers, I will discuss how to extend the GMM framework to allow latent variables. Two set of results are presented: one Bayesian one frequentist.
Applications to the estimation of DSGE models will also be discussed in some details.