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Generalized method of moments with latent variables

Authors: Ron Gallant , Raffaella Giacomini and Giuseppe Ragusa
Date: 07 October 2013
Type: cemmap Working Paper, CWP50/13
DOI: 10.1920/wp.cem.2013.5013

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. Download full version

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