The ABC of simulation estimation with auxiliary statistics
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Abstract: The frequentist method of simulated minimum distance (SMD) is widely used in economics to estimate complex models with an intractable likelihood. In other disciplines, a Bayesian approach known as Approximate Bayesian Computation (ABC) is far more popular. This paper connects these two seemingly related approaches to likelihood-free estimation by means of a Reverse Sampler that uses both optimization and importance weighting to target the posterior distribution. Its hybrid features enable us to analyze an ABC estimate from the perspective of SMD. We show that an ideal ABC estimate can be obtained as a weighted average of a sequence of SMD modes, each being the minimizer of the deviations between the data and the model. This contrasts with the SMD, which is the mode of the average deviations. Using stochastic expansions, we provide a general characterization of frequentist estimators and those based on Bayesian computations including Laplace-type estimators. Their differences are illustrated using analytical examples and a simulation study of the dynamic panel model.
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- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- scientific article; zbMATH DE number 3894273 (Why is no real title available?)
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Cited in
(9)- Indirect inference estimation of dynamic panel data models
- Forecasting exchange rates using asymmetric losses: a Bayesian approach
- An approximate likelihood perspective on ABC methods
- Continuous record Laplace-based inference about the break date in structural change models
- Identification-Robust Inference With Simulation-Based Pseudo-Matching
- Quasi-Bayesian Inference for Production Frontiers
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Spatial econometrics for misaligned data
- Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments
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