Which Moments to Match?
提出一种直观、简单且系统的方法来生成广义矩估计的矩条件，利用具有解析表达式的密度得分构造准则，当辅助模型嵌套结构模型时估计量效率与最大似然相当。
We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.