An MCMC Approach to Classical Estimation

Victor Chernozhukov and Han Hong

Papers from arXiv.org

Abstract: This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general (non-likelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods. The approach generates an alternative to classical extremum estimation and also falls outside the parametric Bayesian approach. For example, it offers a new attractive estimation method for such important semi-parametric problems as censored and instrumental quantile, nonlinear GMM and value-at-risk models. The LTE's are computed using Markov Chain Monte Carlo methods, which help circumvent the computational curse of dimensionality. A large sample theory is obtained for regular cases.

Date: 2023-01
New Economics Papers: this item is included in nep-ets and nep-rmg
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Published in Journal of econometrics 115 (2), August 2003, pages 293-346

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Journal Article: An MCMC approach to classical estimation (2003)
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