Approximation Properties of Laplace-Type Estimators

Anna Kormilitsina and Denis Nekipelov

A chapter in DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, 2012, pp 291-318 from Emerald Group Publishing Limited

Abstract: The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the estimator has desirable asymptotic properties, in small samples the point estimate provided by LTE may not necessarily converge to the extremum of the sample objective function. Furthermore, we suggest a simple test to verify if the estimator converges. We illustrate these results by estimating a prototype dynamic stochastic general equilibrium model widely used in macroeconomics research.

Keywords: Laplace-type estimator; simulation-based estimation; extremum estimation (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000028010

DOI: 10.1108/S0731-9053(2012)0000028010

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