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simulation estimators in macroeconometrics
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.
Keywords
autocorrelation consistent estimators; Bayesian methods in macroeconometrics; calibration; dynamic, stochastic, general equilibrium (DSGE) models; ergodicity; Euler equations; expected utility; generalized method of moments; heteroskedasticity; maximum likelihood estimation; method of simulated moments; simulation estimators in macroeconometrics
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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. 23 May 2013 <http://www.dictionaryofeconomics.com/article?id=pde2008_S000492> doi:10.1057/9780230226203.1533
