ESTIMATION BY SIMULATION

Authors
MCFADDEN D RUUD PA
Citation
D. Mcfadden et Pa. Ruud, ESTIMATION BY SIMULATION, Review of economics and statistics, 76(4), 1994, pp. 591-608
Citations number
14
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Review of economics and statistics → ACNP
ISSN journal
00346535
Volume
76
Issue
4
Year of publication
1994
Pages
591 - 608
Database
ISI
SICI code
0034-6535(1994)76:4<591:EBS>2.0.ZU;2-O
Abstract
We extend McFadden's Method of Simulated Moments to approximating effi cient estimators in general estimation problems. The general approach applies a simulated bias correction to an approximation of the efficie nt score. We discuss a general trade-off in estimator inefficiency bet ween bias correction and moment approximation.