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Simulation-Based Estimation of Models with Lagged Latent Variables

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  • Laroque, Guy
  • Salanie, B

Abstract

We extend here our earlier work (Laroque-Salanie, 1989) and propose a dynamic simulated pseudo-maximum likelihood method to deal with a very general class of dynamic non-linear models, including models with lagged latent variables. We test this method on Monte Carlo-generated data for a canonical disequilibrium model. It appears to provide very satisfactory estimates at little computational cost. However, accurate estimation of the standard errors of the estimates may require some care in non-differentiable models. Copyright 1993 by John Wiley & Sons, Ltd.

Suggested Citation

  • Laroque, Guy & Salanie, B, 1993. "Simulation-Based Estimation of Models with Lagged Latent Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 119-133, Suppl. De.
  • Handle: RePEc:jae:japmet:v:8:y:1993:i:s:p:s119-33
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    Cited by:

    1. Guy Lacroix & Dany Brouillette, 2011. "Assessing the impact of a wage subsidy for single parents on social assistance," Canadian Journal of Economics, Canadian Economics Association, vol. 44(4), pages 1195-1221, November.
    2. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    3. Nicholas-James Clavet & Jean-Yves Duclos, 2012. "Le financement des services de garde des enfants : effets sur le travail, le revenu des familles, et les finances publiques," CIRANO Working Papers 2012s-33, CIRANO.
    4. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    5. Baird, Matthew & Daugherty, Lindsay & Kumar, Krishna B., 2019. "Improving Estimation of Labor Market Disequilibrium Using Shortage Indicators, with an Application to the Market for Anesthesiologists," IZA Discussion Papers 12129, Institute of Labor Economics (IZA).
    6. Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
    7. Jacquinot, Pascal & Mihoubi, F., 1996. "Dynamique et hétérogénéité de l’emploi en déséquilibre," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(2), pages 113-148, juin.
    8. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
    9. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2001. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 215-235, May.
    10. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    11. Blasco, Sylvie & Crépon, Bruno & Kamionka, Thierry, 2012. "The Effects of On-the-job and Out-of-Employment Training Programmes on Labor Market Histories," CEPREMAP Working Papers (Docweb) 1210, CEPREMAP.
    12. Ilyes Abid & Farid Mkaouar & Olfa Kaabia, 2018. "Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity," Annals of Operations Research, Springer, vol. 262(2), pages 241-256, March.
    13. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
    14. Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
    15. Edwige Burdeau, 2015. "Assessing dynamics of credit supply and demand for French SMEs, an estimation based on the Bank Lending Survey," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    16. Lee, Lung-Fei, 1997. "Simulation estimation of dynamic switching regression and dynamic disequilibrium models -- some Monte Carlo results," Journal of Econometrics, Elsevier, vol. 78(2), pages 179-184, June.

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