Chapter

The Method of Simulated Moments (MSM)

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0002

Series: OUP/CORE Lecture Series

 The Method of Simulated Moments (MSM)

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Presents the GMM method in the static case and in the dynamic case. In the latter case, carefully distinguishes the method based on dynamic conditional moments and the method based on static conditional moments. Then, considers the simulated analogues of these methods and their asymptotic properties.

Keywords: asymptotic properties; dynamic conditional moments; Generalized Method of Moments; simulated moments; static conditional moments

Chapter.  10557 words. 

Subjects: Econometrics and Mathematical Economics

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