Knowledge (XXG)

Method of simulated moments

Source 📝

620: 448:. While Indirect Inference allows the researcher to use any of the features of sample statistics as a basis for comparison of moments and data, the name MSM applies only when those statistics are moments of the data, i.e. averages, across the sample of functions defined for a single sample element. 313: 160: 60:
are emerging. Although the method requires the user to specify the distribution from which the simulations are to be drawn, this requirement can be relaxed through the use of an entropy maximizing distribution.
361: 207: 435: 199: 72: 661: 654: 37: 685: 680: 647: 499: 57: 49: 322: 308:{\displaystyle {\hat {\beta }}_{MSM}=\operatorname {argmin} \,{\hat {m}}(x,\beta )'W{\hat {m}}(x,\beta )} 500:"A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration" 29: 41: 201:
is the moment condition and W is a matrix. Using the optimal W matrix leads to efficient estimator.
366: 534: 445: 169: 553: 631: 575: 567: 524: 516: 478: 466: 471:"Implications of Search Frictions: Matching Aggregate and Establishment-level Observations" 33: 155:{\displaystyle {\hat {\beta }}_{GMM}=\operatorname {argmin} \,m(x,\beta )'Wm(x,\beta )} 674: 44:
cannot be evaluated directly, such as when moment functions involve high-dimensional
627: 558: 507: 17: 53: 596: 619: 45: 529: 580: 538: 48:. MSM's earliest and principal applications have been to research in 571: 520: 483: 470: 635: 554:"Entropic Latent Variable Integration via Simulation" 369: 325: 210: 172: 75: 56:, David Pollard, and others, though applications in 429: 355: 307: 193: 154: 655: 8: 662: 648: 579: 528: 482: 377: 376: 368: 327: 326: 324: 279: 278: 244: 243: 242: 224: 213: 212: 209: 171: 107: 89: 78: 77: 74: 457: 363:is the simulated moment condition and 7: 616: 614: 356:{\displaystyle {\hat {m}}(x,\beta )} 634:. You can help Knowledge (XXG) by 469:; Willis, Jonathan L. (May 2007). 14: 22:method of simulated moments (MSM) 618: 424: 412: 403: 400: 388: 382: 373: 350: 338: 332: 302: 290: 284: 268: 255: 249: 218: 188: 176: 149: 137: 124: 111: 83: 1: 430:{\displaystyle E=m(x,\beta )} 38:generalized method of moments 475:NBER Working Paper No. 13115 440:MSM v.s. Indirect Inference 194:{\displaystyle m(x,\beta )} 52:, after its development by 40:to cases where theoretical 26:simulated method of moments 702: 613: 552:Schennach, S. M. (2014). 444:MSM is a special case of 32:technique introduced by 604:New Palgrave Dictionary 50:industrial organization 630:-related article is a 431: 357: 309: 195: 156: 498:McFadden, D. (1989). 432: 358: 310: 196: 157: 30:structural estimation 597:"Indirect Inference" 367: 323: 208: 170: 73: 686:Econometrics stubs 681:Estimation methods 446:Indirect Inference 427: 353: 305: 191: 152: 643: 642: 467:Haltiwanger, John 465:Cooper, Russell; 385: 335: 287: 252: 221: 86: 36:. It extends the 693: 664: 657: 650: 622: 615: 608: 607: 601: 595:Smith, Anthony. 592: 586: 585: 583: 572:10.3982/ECTA9748 549: 543: 542: 532: 504: 495: 489: 488: 486: 462: 436: 434: 433: 428: 387: 386: 378: 362: 360: 359: 354: 337: 336: 328: 314: 312: 311: 306: 289: 288: 280: 274: 254: 253: 245: 235: 234: 223: 222: 214: 200: 198: 197: 192: 161: 159: 158: 153: 130: 100: 99: 88: 87: 79: 42:moment functions 701: 700: 696: 695: 694: 692: 691: 690: 671: 670: 669: 668: 612: 611: 599: 594: 593: 589: 551: 550: 546: 521:10.2307/1913621 515:(5): 995–1026. 502: 497: 496: 492: 464: 463: 459: 454: 442: 365: 364: 321: 320: 267: 211: 206: 205: 168: 167: 123: 76: 71: 70: 67: 34:Daniel McFadden 12: 11: 5: 699: 697: 689: 688: 683: 673: 672: 667: 666: 659: 652: 644: 641: 640: 623: 610: 609: 587: 566:(1): 345–385. 544: 490: 484:10.3386/w13115 456: 455: 453: 450: 441: 438: 426: 423: 420: 417: 414: 411: 408: 405: 402: 399: 396: 393: 390: 384: 381: 375: 372: 352: 349: 346: 343: 340: 334: 331: 317: 316: 304: 301: 298: 295: 292: 286: 283: 277: 273: 270: 266: 263: 260: 257: 251: 248: 241: 238: 233: 230: 227: 220: 217: 190: 187: 184: 181: 178: 175: 164: 163: 151: 148: 145: 142: 139: 136: 133: 129: 126: 122: 119: 116: 113: 110: 106: 103: 98: 95: 92: 85: 82: 66: 63: 13: 10: 9: 6: 4: 3: 2: 698: 687: 684: 682: 679: 678: 676: 665: 660: 658: 653: 651: 646: 645: 639: 637: 633: 629: 624: 621: 617: 605: 598: 591: 588: 582: 577: 573: 569: 565: 561: 560: 555: 548: 545: 540: 536: 531: 526: 522: 518: 514: 510: 509: 501: 494: 491: 485: 480: 476: 472: 468: 461: 458: 451: 449: 447: 439: 437: 421: 418: 415: 409: 406: 397: 394: 391: 379: 370: 347: 344: 341: 329: 299: 296: 293: 281: 275: 271: 264: 261: 258: 246: 239: 236: 231: 228: 225: 215: 204: 203: 202: 185: 182: 179: 173: 146: 143: 140: 134: 131: 127: 120: 117: 114: 108: 104: 101: 96: 93: 90: 80: 69: 68: 64: 62: 59: 55: 51: 47: 43: 39: 35: 31: 27: 24:(also called 23: 19: 636:expanding it 628:Econometrics 625: 603: 590: 563: 559:Econometrica 557: 547: 530:1721.1/63887 512: 508:Econometrica 506: 493: 474: 460: 443: 318: 165: 65:GMM v.s. MSM 25: 21: 18:econometrics 15: 581:10419/79553 58:consumption 54:Ariel Pakes 675:Categories 452:References 422:β 398:β 383:^ 348:β 333:^ 300:β 285:^ 265:β 250:^ 219:^ 216:β 186:β 147:β 121:β 84:^ 81:β 46:integrals 272:′ 128:′ 539:1913621 28:) is a 537:  319:where 240:argmin 166:where 105:argmin 20:, the 626:This 600:(PDF) 535:JSTOR 503:(PDF) 632:stub 576:hdl 568:doi 525:hdl 517:doi 479:doi 16:In 677:: 602:. 574:. 564:82 562:. 556:. 533:. 523:. 513:57 511:. 505:. 477:. 473:. 663:e 656:t 649:v 638:. 606:. 584:. 578:: 570:: 541:. 527:: 519:: 487:. 481:: 425:) 419:, 416:x 413:( 410:m 407:= 404:] 401:) 395:, 392:x 389:( 380:m 374:[ 371:E 351:) 345:, 342:x 339:( 330:m 315:, 303:) 297:, 294:x 291:( 282:m 276:W 269:) 262:, 259:x 256:( 247:m 237:= 232:M 229:S 226:M 189:) 183:, 180:x 177:( 174:m 162:, 150:) 144:, 141:x 138:( 135:m 132:W 125:) 118:, 115:x 112:( 109:m 102:= 97:M 94:M 91:G

Index

econometrics
structural estimation
Daniel McFadden
generalized method of moments
moment functions
integrals
industrial organization
Ariel Pakes
consumption
Indirect Inference
Haltiwanger, John
"Implications of Search Frictions: Matching Aggregate and Establishment-level Observations"
doi
10.3386/w13115
"A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration"
Econometrica
doi
10.2307/1913621
hdl
1721.1/63887
JSTOR
1913621
"Entropic Latent Variable Integration via Simulation"
Econometrica
doi
10.3982/ECTA9748
hdl
10419/79553
"Indirect Inference"
Stub icon

Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.