Forward Diff and Matrix Operations

General Usage
3

You could also do something like the following

function OneStep(θ,SampleMoments,T,W)
    #ρ_guess = θ[1]
    #σ_guess = θ[2]
    #(θ[2]^2)/(1-θ[1]^2) = σ^2/(1-ρ^2)

    moments = [
        ((θ[1]^(j-t))*(θ[2]^2)/(1-θ[1]^2) - SampleMoments[count])
        for t in 1:T for j in 1:T
    ]

    return diff'*W*moments
end

That way the vector moments you create has the right type from the start

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