IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2608.25304.html

SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models

Author

Listed:
  • Sokbae Lee
  • Yuan Liao
  • Myung Hwan Seo
  • Youngki Shin

Abstract

Simulated maximum likelihood is widely used in latent-variable models where likelihood evaluation requires intractable integrals or probabilities. With a fixed number of simulation draws, its estimating equation is generally biased. We develop Stochastic Approximation with Unbiased Simulated Scores (SAUSS), combining score simulation with stochastic gradient descent. The Hajivassiliou--McFadden identity, an instance of Fisher's identity, expresses the likelihood score as the conditional expectation of the complete-data score given the observed data. Exact conditional draws yield an unbiased simulated score for any fixed number of draws. The estimator averages stochastic gradient iterates computed using mini-batches of fixed size regardless of sample size, avoiding repeated full-sample likelihood evaluations. Under local regularity and initialization conditions, we establish asymptotic normality and a functional central limit theorem for the partial-sum process of the iterates under multi-pass sampling from an observed sample. These results support plug-in and random-scaling confidence intervals that remain asymptotically valid when algorithmic uncertainty is non-negligible relative to sampling uncertainty. We develop multinomial probit as a leading application. In simulations and two applications, SAUSS returns estimates in every reported run, including cases where the simulated maximum likelihood implementation returns none. When both return estimates, SAUSS gives comparable estimates in less time.

Suggested Citation

  • Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2026. "SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models," Papers 2608.25304, arXiv.org, revised Nov 2026.
  • Handle: RePEc:arx:papers:2608.25304
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2608.25304
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555.
    2. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
    3. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maruyama, Shiko, 2014. "Estimation of finite sequential games," Journal of Econometrics, Elsevier, vol. 178(2), pages 716-726.
    2. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.
    3. David T. Frazier & Ruben Loaiza-Maya & Didier Nibbering, 2026. "Scalable likelihood-based inference for limited dependent variable models," Papers 2608.13851, arXiv.org, revised Oct 2026.
    4. Thomas Andrén & Daniela Andrén, 2013. "State dependence in Swedish social assistance," Discussion Papers 19, Central European Labour Studies Institute (CELSI).
    5. Thomas Andrén & Daniela Andrén, 2013. "Never give up? The persistence of welfare participation in Sweden," IZA Journal of European Labor Studies, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 2(1), pages 1-21, December.
    6. Andrén, Thomas, 2007. "The Persistence of Welfare Participation," IZA Discussion Papers 3100, IZA Network @ LISER.
    7. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    8. Michael King, 2012. "The Unbanked Four-Fifths: Informality and Barriers to Financial Services in Nigeria," The Institute for International Integration Studies Discussion Paper Series iiisdp411, IIIS.
    9. Paleti, Rajesh, 2018. "Generalized multinomial probit Model: Accommodating constrained random parameters," Transportation Research Part B: Methodological, Elsevier, vol. 118(C), pages 248-262.
    10. Yannis M. Ioannides & Vassilis A. Hajivassiliou, 2007. "Unemployment and liquidity constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 479-510.
    11. Haoying Wang & Guohui Wu, 2022. "Modeling discrete choices with large fine-scale spatial data: opportunities and challenges," Journal of Geographical Systems, Springer, vol. 24(3), pages 325-351, July.
    12. Haaijer, Marinus E., 1996. "Predictions in conjoint choice experiments : the x-factor probit model," Research Report 96B22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    13. Ziegler, Andreas, 2002. "Simulated Classical Tests in the Multiperiod Multinomial Probit Model," ZEW Discussion Papers 02-38, ZEW - Leibniz Centre for European Economic Research.
    14. Domanski, Adam, 2009. "Estimating Mixed Logit Recreation Demand Models With Large Choice Sets," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49413, Agricultural and Applied Economics Association.
    15. Oleksandr Zhylyevskyy, 2012. "Spousal Conflict and Divorce," Journal of Labor Economics, University of Chicago Press, vol. 30(4), pages 915-962.
    16. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September.
    17. Inkmann, Joachim, 1997. "Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model," Discussion Papers, Series II 339, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    18. Michele Belloni & Rob Alessie, 2013. "Retirement Choices in Italy: What an Option Value Model Tells Us," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 499-527, August.
    19. Joel L. Horowitz & Lars Nesheim, 2018. "Using penalized likelihood to select parameters in a random coefficients multinomial logit model," CeMMAP working papers CWP29/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    20. Hajivassiliou, Vassilis, 2019. "Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics," LSE Research Online Documents on Economics 102843, London School of Economics and Political Science, LSE Library.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2608.25304. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.