Simulation Based Inference in Models with Heterogeneity
AbstractIn 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 InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1991)
Issue (Month): 20-21 ()
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- Blazsek, Szabolcs & Escribano, Alvaro, 2010.
"Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors,"
Journal of Econometrics,
Elsevier, vol. 159(1), pages 14-32, November.
- Szabolcs Blazsek & Alvaro Escribano, 2010. "Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors," Post-Print peer-00732533, HAL.
- Szabolcs Blazsek & Alvaro Escribano, 2009. "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," Economics Working Papers we098951, Universidad Carlos III, Departamento de Economía.
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