Comment on "Iterative and Recursive Estimation in Structural Nonadaptive Models Iterative and Recursive Estimation in Structural Nonadaptive Models" by S. Pastorello, V. Patilea, and E. Renault
چکیده
This article provides a comprehensive overview and integra Lion of state-of-the-art econometric methods for models that are natural! y stated in terms of latent variables but present signif icant practical problems for inference from data. ln so doing it extends these methods in ignificant ways by incorporating the important concept of backfitt.ing. ft shows explicitly how this extension applies to GMM and ML estimators. The spe cific problems inherent in estimating affine pricing models of the term structure motivate much of the art.icle and provi de its illustrative applications. Along the way. the article treats a wide variety of related problems . These comments focus on the main theme leading to the e mpirica l application, which is the devel opment of IS-GMM and the exte nsion to backfitting in Sec lions 3 and 4. This article addres es circumstances in which moment con dition