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Forneron, 2023 - Google Patents

A sieve‐SMM estimator for dynamic models

Forneron, 2023

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Document ID
5632049054380140075
Author
Forneron J
Publication year
Publication venue
Econometrica

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This paper proposes a Sieve Simulated Method of Moments (Sieve‐SMM) estimator for the parameters and the distribution of the shocks in nonlinear dynamic models where the likelihood and the moments are not tractable. An important concern with SMM, which …
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