Simulated maximum likelihood estimation based on first-order conditions

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Show simple item record Keane, MP 2010-05-28T09:52:53Z 2009-05
dc.identifier.citation International Economic Review, 2009, 50 (2), pp. 627 - 675
dc.identifier.issn 0020-6598
dc.identifier.other C1 en_US
dc.description.abstract I describe a strategy for structural estimation that uses simulated maximum likelihood (SML) to estimate the structural parameters appearing in a model's first-order conditions (FOCs). Generalized method of moments (GMM) is often the preferred method for estimation of FOCs, as it avoids distributional assumptions on stochastic terms, provided all structural errors enter the FOCs additively, giving a single composite additive error. But SML has advantages over GMM in models where multiple structural errors enter the FOCs nonadditively. I develop new simulation algorithms required to implement SML based on FOCs, and I illustrate the method using a model of U.S. multinational corporations. © 2009 by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
dc.language eng
dc.relation.isbasedon 10.1111/j.1468-2354.2009.00543.x
dc.title Simulated maximum likelihood estimation based on first-order conditions
dc.type Journal Article
dc.parent International Economic Review
dc.journal.volume 2
dc.journal.volume 50
dc.journal.number 2 en_US
dc.publocation Malden en_US
dc.identifier.startpage 627 en_US
dc.identifier.endpage 675 en_US BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140302 Econometric and Statistical Methods
dc.personcode 998871
dc.percentage 100 en_US Econometric and Statistical Methods en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity ISI:000265425800012 en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)

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