On Efficiency of Methods of Simulated Moments and Maximum Simulated Likelihood Estimation of Discrete Response Models
研究了离散响应模型中模拟矩估计和最大模拟似然估计的渐近性质，通过蒙特卡洛实验比较了有限样本表现，对从事微观计量实证的学者有参考价值。
This article considers methods of simulated moments for estimation of discrete response models. It is possible to use the same set of random numbers to simulate the choice probabilities for each individual in the sample. In addition to the method of simulated moments of McFadden, we have considered also maximum simulated likelihood estimation methods. An asymptotic theory for such procedures is provided. The estimators are shown to be consistent and asymptotically normal by the theory of generalized U -statistics. Asymptotic efficiency is discussed. Monte Carlo experiments on the finite sample performance of the estimators are reported.