.png){kind=icon}
返回
Approximate maximum likelihood for complex structural models
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2021.05.009.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Indirect Inference (I-I) is a popular technique for estimating complex parametric models whose likelihood function is intractable, however, the statistical efficiency of I-I estimation is questionable. While the efficient method of moments, Gallant and Tauchen (1996), promises efficiency, the price to pay for this efficiency is a loss of parsimony and thereby a potential lack of robustness to model misspecification. This stands in contrast to simpler I-I estimation strategies, which are known to display less sensitivity to model misspecification due in large part to their focus on specific elements of the underlying structural model. In this research, we propose a new simulation-based approach that maintains the parsimony of I-I estimation, which is often critical in empirical applications, but can also deliver estimators that are nearly as efficient as maximum likelihood. This new approach is based on using a constrained approximation to the structural model, which ensures identification and can deliver estimators that are consistent and nearly efficient. We demonstrate this approach through several examples, and show that this approach can deliver estimators that are nearly as efficient as maximum likelihood, when feasible, but can be employed in many situations where maximum likelihood is infeasible. (C) 2021 Elsevier B.V. All rights reserved.
Keyword:
Equality restrictions
Constrained inference
Indirect inference
Generalized Tobit
Markov-switching multifractal models
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
引用论文
分享收藏
Risks for the long run: A potential resolution of asset pricing puzzles长期风险: 资产定价难题的潜在解决方案.png)
JOURNAL OF FINANCEOAAI
JOURNAL OF FINANCEIF9.5
OAAI分享收藏Simulated minimum distance estimation of dynamic models with errors-in-variables具有变量误差的动态模型的模拟最小距离估计OAAI
OAAI分享收藏
查看更多内容