Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators

DOI10.1016/S0304-4076(99)00058-5zbMath1122.62386OpenAlexW2156486185MaRDI QIDQ1573363

Serena Ng, Alexander Michaelidis

Publication date: 30 January 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00058-5

zbMATH Keywords

Indirect inferenceEfficient method of momentsSimulation estimatorsSimulated method of momentsCommodity prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (9)

Indirect inference in fractional short-term interest rate diffusions ⋮ Equilibrium heterogeneous-agent models as measurement tools: some Monte Carlo evidence ⋮ The ABC of simulation estimation with auxiliary statistics ⋮ Exit dynamics of start-up firms: structural estimation using indirect inference ⋮ The empirical relevance of the competitive storage model ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ On the existence of strongly consistent indirect estimators when the binding function is compact valued ⋮ Cross-validated SNP density estimates ⋮ Estimation and model selection based inference in single and multiple threshold models.

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• Stochastic Speculative Price

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