On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models

B-Tier
Journal: Econometric Theory
Year: 1992
Volume: 8
Issue: 4
Pages: 518-552

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article considers methods of simulated moments for estimation of discrete response models. It is possible to use the same set of random numbers to simulate the choice probabilities for each individual in the sample. In addition to the method of simulated moments of McFadden, we have considered also maximum simulated likelihood estimation methods. An asymptotic theory for such procedures is provided. The estimators are shown to be consistent and asymptotically normal by the theory of generalized U-statistics. Asymptotic efficiency is discussed. Monte Carlo experiments on the finite sample performance of the estimators are reported.

Technical Details

RePEc Handle
repec:cup:etheor:v:8:y:1992:i:04:p:518-552_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25