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On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models

  • Lee, L-F.

This article considers methods of simulated moments for estimation of discrete response models. It is possible to use the same set of random numbers to simulate the choice probabilities for each individual in the sample. In addition to the method of simulated moments of McFadden, we have considered also maximum simulated likelihood estimation methods. An asymptotic theory for such procedures is provided. The estimators are shown to be consistent and asymptotically normal by the theory of generalized U -statistics. Asymptotic efficiency is discussed. Monte Carlo experiments on the finite sample performance of the estimators are reported.

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Paper provided by Minnesota - Center for Economic Research in its series Papers with number 260.

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Length: 42 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:fth:minner:260
Contact details of provider: Postal: UNIVERSITY OF MINNESOTA, CENTER FOR ECONOMIC RESEARCH, DEPARTMENT OF ECONOMICS, MINNEAPOLIS MINNESOTA 35455 U.S.A.
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Web page: http://www.econ.umn.edu/

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