A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD

DOI10.1017/S0266466604204054zbMath1081.62107MaRDI QIDQ5719159

Bernard Salanié, Jean-David Fermanian

Publication date: 17 January 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (16)

Approximate maximum likelihood estimation for population genetic inference ⋮ Testing for monotonicity under endogeneity: an application to the reservation wage function ⋮ A practical guide to the probability density approximation (PDA) with improved implementation and error characterization ⋮ Efficient simulation-based minimum distance estimation and indirect inference ⋮ Efficient estimation of general dynamic models with a continuum of moment conditions ⋮ Generic Consistency for Approximate Stochastic Programming and Statistical Problems ⋮ Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies ⋮ UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA ⋮ Testing for jumps and jump intensity path dependence ⋮ The ABC of simulation estimation with auxiliary statistics ⋮ Generalized indirect inference for discrete choice models ⋮ Higher-order properties of approximate estimators ⋮ Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models ⋮ Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators ⋮ Estimation of dynamic models with nonparametric simulated maximum likelihood ⋮ Solving dynamic discrete choice models using smoothing and sieve methods

Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• On adaptive estimation
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• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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• Simulation and the Asymptotics of Optimization Estimators
• Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
• Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
• On Some Fourier Methods for Inference
• A Semiparametric Maximum Likelihood Estimator
• The Method of Simulated Scores for the Estimation of LDV Models
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

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