Simulation Based Inference in Models with Heterogeneity

Christian Gourieroux and Alain Monfort

Annals of Economics and Statistics, 1991, issue 20-21, 69-107

Abstract: In this paper we discuss the usefulness, for models with heterogeneity, of simulation techniques in inference procedures, like maximum likelihood method, generalized moments method or pseudo maximum likelihood methods. These procedures are studied from the point of view of consistency, asymptotic normality, convergence rates and possible asymptotic bias. We carefully distinguish the case where the simulations are different for all the observations from the case where they are identical.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www.jstor.org/stable/20075807 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:20-21:p:69-107

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().