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The method of simulated scores for the estimation of LDV models

By Vassilis Hajivassiliou and Daniel McFadden

Abstract

The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that employ these simulators. The first continuous method relies on a recursive conditioning of the multivariate normal density through a Cholesky triangularization of its variance-covariance matrix. The second method combines results about the conditionals of the multivariate normal distribution with Gibbs resampling techniques. We establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must rise if biased simulators are used

Topics: HB Economic Theory
Publisher: Wiley
Year: 1998
OAI identifier: oai:eprints.lse.ac.uk:3921
Provided by: LSE Research Online
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