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Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models

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  • Hahn, Jinyong
  • Liu, Xueyuan

Abstract

We propose to reduce asymptotic biases of simulated maximum likelihood estimators (SMLE) by using a jackknife method similar to Dhaene and Jochmans (2015). Because the jackknife method does not require an explicit characterization of the bias, it may be a practically attractive alternative to Lee’s (1995) estimator.

Suggested Citation

  • Hahn, Jinyong & Liu, Xueyuan, 2022. "Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models," Economics Letters, Elsevier, vol. 219(C).
    • Handle: RePEc:eee:ecolet:v:219:y:2022:i:c:s0165176522002841
    DOI: 10.1016/j.econlet.2022.110784
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    References listed on IDEAS

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    1. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    2. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    3. Lee, Lung-Fei, 1992. "On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models," Econometric Theory, Cambridge University Press, vol. 8(4), pages 518-552, December.
    4. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    5. Lee, Lung-Fei, 1995. "Asymptotic Bias in Simulated Maximum Likelihood Estimation of Discrete Choice Models," Econometric Theory, Cambridge University Press, vol. 11(3), pages 437-483, June.
    6. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.
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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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