I finished a first draft for GMM (up to third order using the pruned state space) and SMM (up to 3rd order with pruning and to any k-order without pruning) in Dynare and need some preparations in the preprocessor. It is on my branch moment_estimation and I will merge it soon.
First, due to some work by @JohannesPfeifer, the preprocessor currently already has commands called gmm_estimation
and smm_estimation
. As discussed in dynare#1724 (closed), we should merge these into one command called method_of_moments(OPTIONS)
. This is the goal of this merge request. Also, method_of_moments(OPTIONS)
behaves similar to identification
in the sense that it creates its own structure with options.
I have no idea how to implement the following:
mom_method
and datafile
requiredOnce this has been merged, I will merge the first draft of the method of moments toolbox.