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

Bertille Antoine and Wenqian Sun

Journal of Econometrics, 2025, vol. 248, issue C

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.

Keywords: Many moments; Regularization; Bootstrap; Impulse response matching (search for similar items in EconPapers)
JEL-codes: C32 C52 E30 E50 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x

DOI: 10.1016/j.jeconom.2024.105814

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