Estimation of Structural Nonlinear Errors‐in‐Varibles Models by Simulated Least‐Squares Method
提出一种模拟方法，用于估计结构非线性变量含误差模型，无需数值积分或大量模拟，计算简便，且渐近协方差矩阵可分解以指导模拟规模选择，也适用于缺失数据或不完美替代协变量。
This article proposes a simulation approach to obtain least‐squares or generalized least‐squares estimators of structural nonlinear errors‐in‐variables models. The proposed estimators are computationally attractive because they do not need numerical integration nor huge numbers of simulations per observable. In addition, the asymptotic covariance matrix of the estimator has a simple decomposition that may be used to guide selection of appropriate simulation sizes. The method is also useful for models with missing data or imperfect surrogate covariates, where application of conventional least‐squares and maximum‐likelihood methods is restricted by numerical multidimensional integrations.