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

Published online by Cambridge University Press:  18 October 2010

Lung-Fei Lee
Lung-Fei Lee
Affiliation:
University of Michigan
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Abstract

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.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992 , pp. 518 - 552
Copyright
Copyright © Cambridge University Press 1992

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