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1 – 3 of 3WILLIAM A. BARNETT, A. RONALD GALLANT, MELVIN J. HINICH, JOCHEN A. JUNGEILGES and DANIEL T. KAPLAN
Anna Kormilitsina and Denis Nekipelov
The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the…
Abstract
The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the estimator has desirable asymptotic properties, in small samples the point estimate provided by LTE may not necessarily converge to the extremum of the sample objective function. Furthermore, we suggest a simple test to verify if the estimator converges. We illustrate these results by estimating a prototype dynamic stochastic general equilibrium model widely used in macroeconomics research.
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Zhengbing Hu, Yevgeniy V. Bodyanskiy and Oleksii K. Tyshchenko