Approximation properties of Laplace-type estimators

DOI10.1108/S0731-9053(2012)0000028010MaRDI QIDQ5133566zbMATH OpenOpenAlexFDO

Authors Anna Kormilitsina, Denis Nekipelov

Publication date 10 November 2020

Published in DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2012)0000028010

zbMATH Keywords

simulation-based estimationextremum estimationLaplace-type estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32)

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Cited in

(4)

• Consistent variance of the Laplace-type estimators: application to DSGE models
• The ABC of simulation estimation with auxiliary statistics
• BLP estimation using Laplace transformation and overlapping simulation draws
• Higher-order properties of approximate estimators

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