Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis

A-Tier
Journal: Journal of Econometrics
Year: 2025
Volume: 248
Issue: C

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

The existing asymptotic theory for estimators obtained by simulated minimum distance does not cover situations in which the number of components of the auxiliary statistics (or number of matched “moments”) is large — typically larger than the sample size. We establish the consistency of the simulated minimum distance estimator in this situation and derive its asymptotic distribution.

Technical Details

RePEc Handle
repec:eee:econom:v:248:y:2025:i:c:s030440762400160x
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24