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The Sieve\u2010SMM estimator addresses this issue by flexibly approximating the distribution of the shocks with a Gaussian and tails mixture sieve. The asymptotic framework provides consistency, rate of convergence, and asymptotic normality results, extending existing results to a new framework with more general dynamics and latent variables. An application to asset pricing in a production economy shows a large decline in the estimates of relative risk aversion, highlighting the empirical relevance of misspecification bias.<\/jats:p>","DOI":"10.3982\/ecta17068","type":"journal-article","created":{"date-parts":[[2023,5,11]],"date-time":"2023-05-11T10:01:18Z","timestamp":1683799278000},"page":"943-977","source":"Crossref","is-referenced-by-count":3,"title":["A Sieve\u2010SMM Estimator for Dynamic Models"],"prefix":"10.3982","volume":"91","author":[{"given":"Jean-Jacques","family":"Forneron","sequence":"first","affiliation":[{"name":"Department of Economics, Boston 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