The method of simulated scores for the estimation of LDV models

Econometrica

Volumn 66, Issue 4, 1998, Pages 863-896

  Hajivassiliou, Vassilis A ^a   McFadden, Daniel L ^a  

^a NONE

Author keywords

Gibbs resampling; Limited dependent variable models; Simulation estimation

Indexed keywords

EID: 0001015476     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2999576     Document Type: Article

References (39)

1. BÖRSCH-SUPAN, A., AND V. HAJIVASSILIOU (1993): "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Journal of Econometrics, 58, 347-368.
2. BUTLER, J. S., AND R. MOFFIT (1982): "A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model," Econometrica, 50, 761-764.
3. CHIB, S., AND E. GREENBERG (1995): "Understand the Metropolis-Hastings Algorithm," American Statistician, 49, 327-335.
4. DEÁK, I. (1980): "Three Digit Accurate Multiple Normal Probabilities," Numerische Mathematik, 35, 369-380.
5. DEVROYE, L. (1986): Non-Uniform Random Variate Generation. New York: Springer.
6. DUDLEY, R. (1978): "Central Limit Theorems for Empirical Measures," Annals of Probability, 6, 899-929 ("Correction," Annals of Probability, 7 (1979), 909-911).
7. FUTIA, F. (1982): "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, 50, 377-408.
8. GELFAND, A., AND A. F. M. SMITH (1990): "Sampling Based Approaches to Calculating Marginal Densities," Journal of the American Statistical Association, 85, 398-409.
9. GEMAN, S., AND D. GEMAN (1984): "Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images," IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721-741.
10. GEWEKE, J. (1989): "Efficient Simulation from the Multivariate Normal Distribution Subject to Linear Inequality Constraints and the Evaluation of Constraint Probabilities," Duke University Working Paper.
11. HAJIVASSILIOU, V. (1984): "A Computationally Efficient Quadrature Procedure for the One Factor Multinomial Probit Model: A Comment," MIT Mimeo.
12. _ (1993): "Simulation of Multivariate Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," International Journal of Supercomputer Applications, 7, 231-253.
13. _ (1994): "A Simulation Estimation Analysis of External Repayments Problems of Developing Countries," Journal of Applied Econometrics, 9, 109-132.
14. _ (1996): "A Monte-Carlo Comparison of Leading Simulation Estimators for LDV Models," Mimeo, Department of Economics, London School of Economics.
15. _ (1997): Simulation-Based Inference and Diagnostic Tests: Some Practical Issues. Cambridge: Cambridge University Press.
16. HAJIVASSILIOU, V., AND P. RUUD (1994): "Classical Estimation Methods Using Simulation," in Handbook of Econometrics, Vol. 4, ed. by R. Engle and D. McFadden. Amsterdam: North-Holland, pp. 2383-2441.
17. HAJIVASSILIOU, V., D. MCFADDEN, AND P. RUUD (1996): "Simulation of Multivariate Normal Rectangle Probabilities and Their Derivatives: Theoretical and Computational Results," Journal of Econometrics, 72, 85-134.
18. HECKMAN, J. (1981): "Dynamic Discrete Models," in Structural Analysis of Discrete Data with Econometric Applications, ed. by C. Manski and D. McFadden. Cambridge, MA: M.I.T. Press.
19. KEANE, M. (1994): "A Computationally Efficient Practical Simulation Estimator for Panel Data," Econometrica, 62, 95-116.
20. LAROQUE, G., AND B. SALANIÉ (1989): "Estimation of Multi-Market Disequilibrium Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods," Econometrica, 57, 831-860.
21. LERMAN, S., AND C. MANSKI (1981): "On the Use of Simulated Frequencies to Approximate Choice Probabilities," in Structural Analysis of Discrete Data with Econometric Applications, ed. by C. Manski and D. McFadden. Cambridge, MA: MIT Press, pp. 305-319.
22. MCCULLOCH, R., AND P. Rossi (1994): "An Exact Likelihood Analysis of the Multinomial Probit Model," Journal of Econometrics, 64, 207-240.
23. MCFADDEN, D. (1973): "Conditional Logit Analysis of Qualitative Choice Behavior," in Frontiers in Econometrics, ed. by P. Zarembka. New York: Academic Press, pp. 105-142.
24. _ (1989). "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, 57, 995-1026.
25. MORAN, P. A. P. (1984): "The Monte Carlo Evaluation of Orthant Probabilities for Multivariate Normal Distributions," Australian Journal of Statistics, 26, 39-44.
26. _ (1985): "Calculation of Multivariate Normal Probabilities - Another Case," Australian Journal of Statistics, 27, 60-67.
27. _ (1986). "Orthant Probabilities and Gaussian Markov Processes," Journal of Applied Probability, 43, 413-417.
28. NELDER, J. A., AND R. MEAD (1964): "A Simplex Method for Function Minimization," Computer Journal, 7, 308-313.
29. NUMMELIN, E. (1984): General Irreducible Markov Chains and Non-negative Operators. Cambridge: Cambridge University Press.
30. OREY, S. (1971): Limit Theorems for Markov Chain Transition Probabilities. London: van Nostrand.
31. OSSIANDER, M. (1987): "A Central Limit Theorem under Metric Entropy with Bracketing," Annals of Probability, 15, 897-919.
32. PAKES, A., AND D. POLLARD (1989): "Simulation and the Asymptotics of Optimization Estimators," Econometrica, 57, 1027-1057.
33. PRESS, W., B. FLANNERY, S. TEUKOLSKY, AND W. VETTERLING (1986): Numerical Recipes. Cambridge: Cambridge University Press.
34. ROBERTS, G. O., AND N. G. POLSON (1994): "On the Geometric Convergence of the Gibbs Sampler," Journal of the Royal Statistical Society, Series B, 56, 171-182.
35. RUUD, P. A. (1986): "On the Method of Simulated Moments for the Estimation of Limited Dependent Variable Models," University of California at Berkeley, mimeo.
36. _ (1991): "Extensions of Estimation Methods Using the EM Algorithm," Journal of Econometrics, 49, 305-341.
37. STERN, S. (1992): "A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models," Econometrica, 60, 943-952.
38. TIERNEY, L. (1991): "Markov Chains for Exploring Posterior Distributions," Technical Report, School of Statistics, University of Minnesota.
39. VAN PRAAG, B. M. S., AND J. P. HOP (1987): "Estimation of Continuous Models on the Basis of Set-Valued Observations," Erasmus University Working Paper.