Estimation by Simulation

Daniel McFadden and Paul Ruud

The Review of Economics and Statistics, 1994, vol. 76, issue 4, 591-608

Abstract: The authors extend Daniel McFadden's (1989) method of simulated moments to approximating efficient estimators in general estimation problems. The general approach applies a simulated bias correction to an approximation of the efficient score. They discuss a general trade-off in estimator inefficiency between bias correction and moment approximation. Copyright 1994 by MIT Press.

Date: 1994
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