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Estimation by Simulation

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Author Info
McFadden, Daniel
Ruud, Paul A

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Abstract

The authors extend Daniel McFadden's (1989) method of simulated moments to approximating efficient estimators in general estimation problems. The general approach applies a simulated bias correction to an approximation of the efficient score. They discuss a general trade-off in estimator inefficiency between bias correction and moment approximation. Copyright 1994 by MIT Press.

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Publisher Info
Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 76 (1994)
Issue (Month): 4 (November)
Pages: 591-608
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Handle: RePEc:tpr:restat:v:76:y:1994:i:4:p:591-608

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