A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
From MaRDI portal
Publication:4729230
DOI10.2307/1913621zbMath0679.62101OpenAlexW2019302713WikidataQ64026052 ScholiaQ64026052MaRDI QIDQ4729230
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/63887
consistencyasymptotic normalitylaw of large numbersmethod of simulated momentsmethod of moments estimatordiscrete response modelhigh- dimensional multinomial probit
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)
Related Items (only showing first 100 items - show all)
Unnamed Item ⋮ Standard Error of the Method of Simulated Moment Estimator for Generalized Linear Mixed Models ⋮ Maximum‐likelihood estimation for constrained‐ or missing‐data models ⋮ A consistent simulation-based estimator in generalized linear mixed models ⋮ TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS ⋮ Using Copulas to Model Time Dependence in Stochastic Frontier Models ⋮ Time-Deformation Modeling of Stock Returns Directed by Duration Processes ⋮ BLP estimation using Laplace transformation and overlapping simulation draws ⋮ Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market ⋮ The browser war -- analysis of Markov perfect equilibrium in markets with dynamic demand effects ⋮ Simulated Method of Moments Estimation for Copula-Based Multivariate Models ⋮ Comparison of two methods in estimating standard error of the method of simulated moments estimators for generalized linear mixed models ⋮ Parameter estimation in a subcritical percolation model with colouring ⋮ The sparse method of simulated quantiles: An application to portfolio optimization ⋮ Interaction effects in the adjustment cost function of firms ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique ⋮ A Bayesian method for multinomial probit model ⋮ From Imitation to Innovation: Where Is All That Chinese R&D Going? ⋮ Divide and Conquer: Recursive Likelihood Function Integration for Hidden Markov Models with Continuous Latent Variables ⋮ Stochastic actor‐oriented models for network change ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ Imputation of Continuous Variables Missing at Random using the Method of Simulated Scores ⋮ A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL ⋮ Indirect inference for fractional time series models ⋮ Unnamed Item ⋮ Unnamed Item ⋮ On probit versus logit dynamic mixed models for binary panel data ⋮ A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD ⋮ Locally D-Optimal Design for a Logit Model in Discrete Choice Experiment ⋮ Generalized Estimating Equations to Binary Probit Model ⋮ Calibration as estimation ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ Additional information for: ``Comments on ``Alternative models of demand for automobiles by Charlotte Wojcik ⋮ Assessing Toxicities in a Clinical Trial: Bayesian Inference for Ordinal Data Nested within Categories ⋮ Inverse Regression in Binary Response LDV Model ⋮ Estimation of finite sequential games ⋮ Reversible Gromov-Monge sampler for simulation-based inference ⋮ An adversarial approach to structural estimation ⋮ Multinomial probit Bayesian additive regression trees ⋮ Simulation based calibration using extended balanced augmented empirical likelihood ⋮ Discrete choice models for ordinal response variables: a generalization of the stereotype model ⋮ Generalized simulated method-of-moments estimators for multivariate copulas ⋮ BINARY REGRESSION WITH A CLASS OF SKEWEDtLINK MODELS ⋮ LATE CAREER JOB LOSS AND THE DECISION TO RETIRE ⋮ Career and Family Decisions: Cohorts Born 1935-1975 ⋮ DYNAMIC FACTOR MODELS ⋮ Simulation-Based Estimation Methods for Financial Time Series Models ⋮ MALE AND FEMALE MARRIAGE RETURNS TO SCHOOLING ⋮ Composite Likelihood Estimation for Multivariate Probit Latent Traits Models ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ ESTIMATION OF DYNAMIC DISCRETE CHOICE MODELS BY MAXIMUM LIKELIHOOD AND THE SIMULATED METHOD OF MOMENTS ⋮ On the Truncation Error of a Superposed Gamma Process ⋮ A unified jackknife theory for empirical best prediction with \(M\)-estimation ⋮ A diagnostic test for the sources of persistence in individuals' decisions ⋮ Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties ⋮ Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics ⋮ Simulation-based estimation of dynamic models with continuous equilibrium solutions ⋮ Empirical labor search: a survey ⋮ Indirect estimation of stochastic differential equation models: some computational experiments ⋮ Estimation of ergodic agent-based models by simulated minimum distance ⋮ Efficient high-dimensional importance sampling ⋮ Likelihood approximation by numerical integration on sparse grids ⋮ Turning from crime: a dynamic perspective ⋮ Stochastic volatility in asset prices. Estimation with simulated maximum likelihood ⋮ Partitioned method of valid moment marginal model with Bayes interval estimates for correlated binary data with time-dependent covariates ⋮ Dependence modeling in stochastic frontier analysis ⋮ Estimation of nonlinear models with Berkson measurement errors ⋮ Structural estimation of pairwise stable networks with nonnegative externality ⋮ Monte-Carlo evaluation of multivariate normal probabilities ⋮ Job search theory, labour supply and unemployement duration ⋮ Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results ⋮ A smooth likelihood simulator for dynamic disequilibrium models ⋮ Technological heterogeneity and corporate investment ⋮ Statistical inference in the multinomial multiperiod probit model ⋮ On selection of statistics for approximate Bayesian computing (or the method of simulated moments) ⋮ Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results ⋮ Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ A multivariate discrete choice method based on inequality restrictions ⋮ A comparison of economic agent-based model calibration methods ⋮ Generalized sample selection bias correction under RUM ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ Using all bids in parametric estimation of first-price auctions ⋮ Empirical method of moments and its applications ⋮ The Monte Carlo EM method for estimating multinomial probit latent variable models ⋮ A comprehensive stochastic model of irradiated cell populations in culture ⋮ Optimization model and algorithm for mixed traffic of urban road network with flow interference ⋮ Efficient algorithms for generating truncated multivariate normal distributions ⋮ Likelihood-free inference via classification ⋮ Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles ⋮ A note on identification in discrete choice models with partial observability ⋮ Stochastic volatility duration models ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ Easy and flexible mixture distributions ⋮ A computational strategy for doubly smoothed MLE exemplified in the normal mixture model ⋮ Fitting the Bartlett-Lewis rainfall model using approximate Bayesian computation ⋮ Extensions of estimation methods using the EM algorithm ⋮ Indirect inference in fractional short-term interest rate diffusions ⋮ Simulated classical tests in multinomial probit models
This page was built for publication: A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
