Estimation of dynamic latent variable models using simulated non‐parametric moments
نویسندگان
چکیده
منابع مشابه
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments
Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2012
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2012.00387.x