Method of Moments (GMM and SMM) Estimation in Dynare 4.7 and 5
Channel: Willi Mutschler
Date: 2021-06-24

This video covers the Method of Moments Toolbox of Dynare
We'll go through some theoretical concepts and have a look at some examples that showcase both Simulated Method of Moments as well as Generalized Method of Moments estimation for DSGE models solved with k-order perturbation.
We also cover the options that you can choose.

Time-stamps
0:00 Motivation and Scope of the Toolbox

Computing moments in Dynare
1:50 Dynare's model framework
3:52 How to compute moments?
4:32 First-order perturbation approximation
5:55 Higher-order perturbation approximation (there is a problem of explosiveness)
7:25 Pruning
7:50 Univariate example to derive pruned state-space system
11:25 Pruned State Space System

Method of Moments
12:15 Basic idea
13:47 Simulated Method of Moments
18:01 Generalized Method of Moments
20:41 Overidentification tests
20:55 Comparison to full-information methods
22:07 Penalized Method of Moments

Dynare Implementation
23:24 Overview interfaces and commands
24:10 matched_moments block
25:05 method_of_moments command

29:57 Example: RBC model