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Duke Economics Working Paper #03-12

EMM: A Program for Efficient Method of Moments Estimation. Version 1.6. User’s Guide


A. Ronald Gallant and George Tauchen

Abstract

This Guide shows how to use the computer package EMM, which implements the estimator described in "Which Moments to Match" (Gallant and Tauchen, 1996a) and summarized in Gallant and Tauchen (2001b). The term EMM refers to Efficient Method of Moments. The Guide provides an overview of the estimator, instructions on how to acquire the software, and a description of the package. It also walks the reader through three worked examples, one of which is estimation of a simple stochastic volatility model and the other two are estimation of stochastic differential equations for the short-term interest rate and stock prices, respectively.

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