Simulation-Based Method of Moments and Efficiency
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Citations
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Cited by:
- Sickles, Robin C. & Williams, Jenny, 2008.
"Turning from crime: A dynamic perspective,"
Journal of Econometrics, Elsevier, vol. 145(1-2), pages 158-173, July.
- Robin C. Sickles & Jenny Williams, 1999. "Turning from Crime: A Dynamic Perspective," School of Economics and Public Policy Working Papers 1999-08, University of Adelaide, School of Economics and Public Policy.
- Zhenxi Chen & Thomas Lux, 2018.
"Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach,"
Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 711-744, October.
- Zhenxi, Chen & Lux, Thomas, 2015. "Estimation of sentiment effects in financial markets: A simulated method of moments approach," FinMaP-Working Papers 37, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Erwann SbaÏ & Olivier Armantier, 2006.
"Estimation and comparison of treasury auction formats when bidders are asymmetric,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 745-779.
- Olivier Armantier & Erwann SbaÏ, 2006. "Estimation and comparison of treasury auction formats when bidders are asymmetric," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 745-779, September.
- Olivier Armantier & Erwann Sbai, 2003. "Estimation and Comparison of Treasury Auction Formats when Bidders are Asymmetric," Department of Economics Working Papers 03-02, Stony Brook University, Department of Economics.
- Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
- Manuel S. Santos, 2007.
"Consistency Properties of a Simulation-Base Estimator for Dynamic Processes,"
Working Papers
0613, University of Miami, Department of Economics.
- Manuel S. Santos, 2010. "Consistency properties of a simulation-based estimator for dynamic processes," Papers 1001.2173, arXiv.org.
- Manuel Santos, 2007. "Consistency Properties of a Simulation-Based Estimator for Dynamic Processes," Working Papers 0705, University of Miami, Department of Economics.
- Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University.
- Jang, Tae-Seok & Sacht, Stephen, 2021.
"Forecast heuristics, consumer expectations, and New-Keynesian macroeconomics: A Horse race,"
Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 493-511.
- Jang, Tae-Seok & Sacht, Stephen, 2018. "Forecast heuristics, consumer expectations, and new-Keynesian macroeconomics: A horse race," Economics Working Papers 2018-09, Christian-Albrechts-University of Kiel, Department of Economics.
- Shintaro Yamaguchi, 2010.
"Job Search, Bargaining, and Wage Dynamics,"
Journal of Labor Economics, University of Chicago Press, vol. 28(3), pages 595-631, July.
- Shintaro Yamaguchi, 2006. "Job Search, Bargaining, and Wage Dynamics," 2006 Meeting Papers 54, Society for Economic Dynamics.
- Shintaro Yamaguchi, 2007. "Job Search, Bargaining, and Wage Dynamics," Department of Economics Working Papers 2007-03, McMaster University.
- Shintaro Yamaguchi, 2006. "Job Search, Bargaining, and Wage Dynamics," ISER Discussion Paper 0658, Institute of Social and Economic Research, Osaka University.
- Shintaro Yamaguchi, 2009. "Job Search, Bargaining, and Wage Dynamics," Global COE Hi-Stat Discussion Paper Series gd08-026, Institute of Economic Research, Hitotsubashi University.
- Carrasco, Marine & Florens, Jean-Pierre, 2014.
"On The Asymptotic Efficiency Of Gmm,"
Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
- Carrasco, Marine & Florens, Jean-Pierre, 2003. "On the Asymptotic Efficiency of GMM," IDEI Working Papers 173, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007.
"Estimating Macroeconomic Models: A Likelihood Approach,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," Levine's Bibliography 122247000000000849, UCLA Department of Economics.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers.
- Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc.
- Philipp Eisenhauer & James J. Heckman & Stefano Mosso, 2015.
"Estimation Of Dynamic Discrete Choice Models By Maximum Likelihood And The Simulated Method Of Moments,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(2), pages 331-357, May.
- Phillipp Eisenhauer & James J. Heckman & Stefano Mosso, 2014. "Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments," NBER Working Papers 20622, National Bureau of Economic Research, Inc.
- Eisenhauer, Philipp & Heckman, James J., 2014. "Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments," ZEW Discussion Papers 14-081, ZEW - Leibniz Centre for European Economic Research.
- Eisenhauer, Philipp & Heckman, James J. & Mosso, Stefano, 2014. "Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments," IZA Discussion Papers 8548, Institute of Labor Economics (IZA).
- Carrasco, Marine & Florens, Jean-Pierre, 2011.
"A Spectral Method For Deconvolving A Density,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 546-581, June.
- Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
- Hirukawa, Masayuki & Prokhorov, Artem, 2018.
"Consistent estimation of linear regression models using matched data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 344-358.
- Hirukawa, Masayuki & Prokhorov, Artem, 2014. "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers 2014-03, University of Sydney Business School, Discipline of Business Analytics.
- Hirukawa, Masayuki & Prokhorov, Artem, 2017. "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers 2123/18063, University of Sydney Business School, Discipline of Business Analytics.
- Eckstein, Zvi & Ge, Suqin & Petrongolo, Barbara, 2006.
"Job and Wage Mobility in a Search Model with Non-Compliance (Exemptions) with the Minimum Wage,"
IZA Discussion Papers
2076, Institute of Labor Economics (IZA).
- Eckstein, Zvi & Ge, Suqin & Petrongolo, Barbara, 2006. "Job and wage mobility in a search model with non-compliance (exemptions) with the minimum wage," LSE Research Online Documents on Economics 4961, London School of Economics and Political Science, LSE Library.
- Ramis Khabibullin & Sergei Seleznev, 2022.
"Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference,"
Papers
2210.07154, arXiv.org.
- Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Bank of Russia Working Paper Series wps104, Bank of Russia.
- Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
- Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
- Zila, Eric & Kukacka, Jiri, 2023. "Moment set selection for the SMM using simple machine learning," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 366-391.
- Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.
- Franke, Reiner, 2009. "Applying the method of simulated moments to estimate a small agent-based asset pricing model," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 804-815, December.
- Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
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