On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models
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Center for Economic Research, Department of Economics, University of Minnesota
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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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Discussion Paper
260
260
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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.
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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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