Estimation of dynamic latent variable models using simulated nonparametric moments
Creel, Michael (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)
Kristensen, Dennis (Columbia University)
Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica
Institut d'Anàlisi Econòmica

Date:	2010
Description:	43 p.
Abstract:	Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Series:	Departament d'Economia i d'Història Econòmica. Unitat de Fonaments de l'Anàlisi Econòmica / Institut d'Anàlisi Econòmica (CSIC). Working papers
Series:	Working papers ; 792.09
Document:	Working paper
Subject:	Estimació, Teoria de l' ; Estadística no paramètrica

43 p, 334.7 KB

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Research literature > Working papers > Fundamentals Unit of the Economic Analysis. Working papers