Method of Moments approach
Posted: Wed Oct 04, 2017 3:00 am
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?