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Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis

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  • Antoine, Bertille
  • Sun, Wenqian

Abstract

The existing asymptotic theory for estimators obtained by simulated minimum distance does not cover situations in which the number of components of the auxiliary statistics (or number of matched “moments”) is large — typically larger than the sample size. We establish the consistency of the simulated minimum distance estimator in this situation and derive its asymptotic distribution.

Suggested Citation

  • Antoine, Bertille & Sun, Wenqian, 2025. "Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis," Journal of Econometrics, Elsevier, vol. 248(C).
    • Handle: RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x
    DOI: 10.1016/j.jeconom.2024.105814
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    References listed on IDEAS

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    More about this item

    Keywords

    Many moments; Regularization; Bootstrap; Impulse response matching;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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