Method of Moments approach
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condor
- Posts: 18
- Joined: Fri Apr 10, 2009 4:11 pm
Method of Moments approach
Chapter 9 of the SSM DSGE e-course outlines a "method of moments" approach for the estimation of t distributed errors. However, Durbin and Koopman (2012) book estimates the parameters with "Monte Carlo maximum likelihood". Is there a comprehensive reference for this "method of moments" approach where I can study and understand in detail its application to this particular case?
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TomDoan
- Posts: 7826
- Joined: Wed Nov 01, 2006 4:36 pm
Re: Method of Moments approach
That's still in D-K. See the p317 example.