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SMM.jl: Simulated Method of Moments for Julia

Author

Listed:
  • Florian Oswald

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

  • Thibaut Lamadon

    (University of Chicago)

  • Julien Pascal
  • Greg Martin

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.

Suggested Citation

  • Florian Oswald & Thibaut Lamadon & Julien Pascal & Greg Martin, 2019. "SMM.jl: Simulated Method of Moments for Julia," SciencePo Working papers Main hal-03945683, HAL.
    • Handle: RePEc:hal:spmain:hal-03945683
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03945683
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    Keywords

    Julia; Estimation; MCMC;
    All these keywords.

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