Maintaining symmetry of simulated likelihood functions
This paper suggests solutions to two different types of simulation errors related to Quasi-Monte Carlo integration. Likelihood functions which depend on standard deviations of mixed parameters are symmetric in nature. This paper shows that antithetic draws preserve this symmetry and thereby improves precision substantially. Another source of error is that models testing away mixing dimensions must replicate the relevant dimensions of the quasi-random draws in the simulation of the restricted likelihood. These simulation errors are ignored in the standard estimation procedures used today and this paper shows that the result may be substantial estimation- and inference errors within the span of draws typically applied.
|Date of creation:||Nov 2010|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.ifro.ku.dk/english/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ben-Akiva, M. & Bolduc, D. & Bradley, M., 1993. "Estimation of Travel Choice Models with Randomly Distributed Values of Time," Papers 9303, Laval - Recherche en Energie.
- Chiou, Lesley & Walker, Joan L., 2007. "Masking identification of discrete choice models under simulation methods," Journal of Econometrics, Elsevier, vol. 141(2), pages 683-703, December.
When requesting a correction, please mention this item's handle: RePEc:foi:wpaper:2010_16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geir Tveit)
If references are entirely missing, you can add them using this form.