Simulated Maximum Likelihood Estimation Based On First-Order Conditions
AbstractI describe a strategy for structural estimation that uses simulated maximum likelihood (SML) to estimate the structural parameters appearing in a model's first-order conditions (FOCs). Generalized method of moments (GMM) is often the preferred method for estimation of FOCs, as it avoids distributional assumptions on stochastic terms, "provided" all structural errors enter the FOCs additively, giving a single composite additive error. But SML has advantages over GMM in models where multiple structural errors enter the FOCs nonadditively. I develop new simulation algorithms required to implement SML based on FOCs, and I illustrate the method using a model of U.S. multinational corporations. Copyright � (2009) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 50 (2009)
Issue (Month): 2 (05)
Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: (215) 898-8487
Fax: (215) 573-2057
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Michael Keane, 2010.
"Labor Supply and Taxes: A Survey,"
Working Paper Series
160, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or ().
If references are entirely missing, you can add them using this form.