G. Laroque et B. Salanie, SIMULATION-BASED ESTIMATION OF MODELS WITH LAGGED LATENT-VARIABLES, Journal of applied econometrics, 8, 1993, pp. 190000119-190000133
We extend here our earlier work (Laroque-Salanie, 1989) and propose a
dynamic simulated pseudomaximum likelihood method to deal with a very
general class of dynamic non-linear models, including models with lagg
ed latent variables. We test this method on Monte Carlo-generated data
for a canonical disequilibrium model. It appears to provide very sati
sfactory estimates at little computational cost. However, accurate est
imation of the standard errors of the estimates may require some care
in nondifferentiable models.