On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models
1990-09
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On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models
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1990-09
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Center for Economic Research, Department of Economics, University of Minnesota
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Working Paper
Abstract
This article has considered methods of simulated moments for estimation of discrete response
models. We have introduced a modified method of simulated moments of McFadden [1989]. Using
the same number of Monte Carlo draws as in McFadden's method of simulated moments, our
estimator is asymptotically efficient relative to McFadden's estimator. In addition to the method
of simulated moments, we have considered also maximum simulated likelihood estimation methods.
The estimators are shown to be consistent and asymptotically normal without excessive number
of Monte Carlo draws.
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Previously Published Citation
Lee, L., (1990), "On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models", Discussion Paper No. 260, Center for Economic Research, Department of Economics, University of Minnesota.
Suggested citation
Lee, Lung-Fei. (1990). On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55559.
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