SMM.jl: Simulated Method of Moments for Julia

Florian Oswald (), Thibaut Lamadon, Julien Pascal and Greg Martin
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Florian Oswald: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique
Thibaut Lamadon: University of Chicago

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Abstract: Notice: this package was previously called MomentOpt.jl. This package provides a Julia infrastructure for Simulated Method of Moments estimation, or other problems where we want to optimize a non-differentiable objective function. The setup is suitable for all kinds of likelihood-free estimators - in general, those require evaluating the objective at many regions. The user can supply their own algorithms for generating successive new parameter guesses. We provide a set of MCMC template algorithms. The code can be run in serial or on a cluster.

Keywords: Julia; Estimation; MCMC (search for similar items in EconPapers)
Date: 2019-06-23
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