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Simulation Based Inference in Models with Heterogeneity

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  • Christian GOURIEROUX
  • Alain MONFORT

Abstract

In this paper we discuss the usefulness, for models with heterogeneity, of simulation techniques in inference procedures, like maximum likelihood method, generalized moments method or pseudo maximum likelihood methods. These procedures are studied from the point of view of consistency, asymptotic normality, convergence rates and possible asymptotic bias. We carefully distinguish the case where the simulations are different for all the observations from the case where they are identical.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (1991)
Issue (Month): 20-21 ()
Pages: 69-107

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Handle: RePEc:adr:anecst:y:1991:i:20-21:p:04

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Cited by:
  1. Blazsek, Szabolcs & Escribano, Alvaro, 2010. "Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 14-32, November.
  2. Thiel, Hendrik & Thomsen, Stephan L., 2011. "Noncognitive skills in economics: Models, measurement, and empirical evidence," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 09-076 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. Daniel A. Ackerberg, 2001. "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0273, National Bureau of Economic Research, Inc.
  4. Bolduc, D. & Kaci, M., 1991. "Estimation des Modeles Probit Polytomiques: Un Survol des Techniques," Papers, Laval - Recherche en Energie 9127, Laval - Recherche en Energie.
  5. Calzolari, Giorgio & Magazzini, Laura & Mealli, Fabrizia, 2001. "Simulation-based estimation of Tobit model with random effects," MPRA Paper 22985, University Library of Munich, Germany, revised 2001.
  6. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna
    [Estimation of nonlinear simultaneous equations: a survey]
    ," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
  7. Emmanuel Duguet & Claire Lelarge, 2006. "Does Patenting Increase the Private Incentives to Innovates ? A Microeconometric Analysis," Working Papers, Centre de Recherche en Economie et Statistique 2006-09, Centre de Recherche en Economie et Statistique.
  8. König, Heinz & Lechner, Michael, 1994. "Some recent developments in microeconometrics: A survey," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 94-12, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  9. Concordet, Didier & Nunez, Olivier G., 2002. "A simulated pseudo-maximum likelihood estimator for nonlinear mixed models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 39(2), pages 187-201, April.
  10. Szabolcs Blazsek & Álvaro Escribano, 2014. "Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers," Economics Working Papers, Universidad Carlos III, Departamento de Economía we1412, Universidad Carlos III, Departamento de Economía.

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