3 papers
econ.EM2026
Fitting Dynamically Misspecified Models: An Optimal Transportation Approach
Jean-Jacques Forneron, Zhongjun Qu
This paper considers filtering, parameter estimation, and testing for potentially dynamically misspecified state-space models. When dynamics are misspecified, filtered values of st…
econ.EM2025
Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models
Jean-Jacques Forneron
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper pro…
econ.EM2025
Convexity Not Required: Estimation of Smooth Moment Condition Models
Jean-Jacques Forneron, Liang Zhong
Generalized and Simulated Method of Moments are often used to estimate structural Economic models. Yet, it is commonly reported that optimization is challenging because the corresp…