(2014), and Mutschler (2018). It is accessible via the new
`method_of_moments` command (!1750) and the new `matched_moments` block
(preprocessor!23). Moreover, by default, a new non-linear least squares optimizer
based on `lsqnonlin` is used for minimizing the method of moments objective function (available under `mode_compute=13`). (3615962a6107e211861d7461e2310ba2d1366369, b4f293bdf29f766dfb3314b48d2407716a7d7025)
based on `lsqnonlin` is used for minimizing the method of moments objective function (available under `mode_compute=13`) (3615962a6107e211861d7461e2310ba2d1366369, b4f293bdf29f766dfb3314b48d2407716a7d7025). GMM can further benefit from using Gradient-based optimizers (using `analytic_standard_errors` option and/or passing `'Jacobian','on'` to the optimization options) as the Jacobian of the moment conditions can be computed analytically (a697002a4ee54b28551f3583757b7e0395121db6).
- Implementation of the Occbin algorithm by Guerrieri and Iacoviello (2015) (#569,
preprocessor#68), together with the inversion filter of Cuba-Borda,
