simulation estimators in macroeconometrics

Beth F. Ingram
From The New Palgrave Dictionary of Economics, Second Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
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Abstract

The article outlines the method of simulated moments as a technique for estimating the parameters of dynamic, stochastic general equilibrium macroeconomic models. A detailed description is provided for implementation of the method, and its statistical properties are discussed. A brief comparison with other common estimation methods (calibration, generalized method of moments and maximum likelihood) is presented.
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How to cite this article

Ingram, Beth F. "simulation estimators in macroeconometrics." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 31 October 2014 <http://www.dictionaryofeconomics.com/article?id=pde2008_S000492> doi:10.1057/9780230226203.1533

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