Estimation with Simulation: Theory and Application

模拟估计：理论与应用

• 批准号: 9122283
• 负责人: Paul Ruud
• 金额: $ 4.1万
• 依托单位: University of California-Berkeley
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1992
• 资助国家: 美国
• 起止时间: 1992-03-15 至 1994-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9122283&HistoricalAwards=false
• 关键词: Estimation; Simulation; Theory; Application

This project develops estimation methods that use simulations to overcome the computational burdens of numerically complex econometric models. This is a very important line of research because many economic problems are intractable even using supercomputers. Many applied economists must consciously design models to avoid computationally intractable aspects, even though the economics of the issue naturally lead in that direction. This project generalizes the simulated moments methods, uses it to solve complicated empirical economic problems and extends a new class of semi-parametric estimators for linear index models developed by the investigator under his previous NSF grant. The method of simulated moments is generalized to limited dependent variable models besides the conditional multinomial Probit model and to inference problems associated with approximating moment functions like the score of the log- likelihood. The research in computation addresses the existence and nondifferentiability of simulated moments estimators. The second part of the research is an empirical application of simulated moments estimation methods to the analysis of labor supply with nonlinear taxes. The third part of the research is about semi-parametric estimation of index models. Asymptotic distribution theory for a class of estimators for linear index models will be derived and the relationship between this family of estimators and others is explored.

该项目开发估算方法，利用模拟来克服数值复杂的计量经济模型的计算负担。这是一个非常重要的研究方向，因为即使使用超级计算机，许多经济问题也很难解决。许多应用经济学家必须有意识地设计模型，以避免计算上难以处理的方面，即使这个问题的经济学自然会导致那个方向。本项目推广了模拟矩方法，用它来解决复杂的经验经济问题，并扩展了一类新的半参数估计，用于线性指标模型，这是研究者在他之前的国家科学基金资助下开发的。将模拟矩的方法推广到除条件多项式Probit模型外的有限因变量模型和与近似矩函数有关的推理问题，如对数似然分数。在计算方面研究了模拟矩估计量的存在性和不可导性。研究的第二部分是模拟矩估计方法在非线性税收条件下劳动力供给分析中的实证应用。第三部分是指标模型的半参数估计。本文推导了一类线性指标模型估计量的渐近分布理论，并探讨了这类估计量与其他估计量的关系。