Method of Moments approach

Discussion of State Space and Dynamic Stochastic General Equilibrium Models
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condor
Posts: 18
Joined: Fri Apr 10, 2009 4:11 pm

Method of Moments approach

Unread post by condor »

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: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Method of Moments approach

Unread post by TomDoan »

That's still in D-K. See the p317 example.
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