Econometrics-I-23

Part 23 simulation based estimation quadrature vs

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Unformatted text preview: Part 23: Simulation Based Estimation Quadrature vs. Simulation p Computationally, comparably difficult p Numerically, essentially the same answer. MSL is consistent in R p Advantages of simulation n Can integrate over any distribution, not just normal n Can integrate over multiple random variables. Quadrature is largely unable to do this. n Models based on simulation are being extended in many directions. n Simulation based estimator allows estimation of conditional means essentially the same as Bayesian posterior means ˜˜˜™ ™ 18/25 Part 23: Simulation Based Estimation A Random Parameters Model ˜˜˜™ ™ 19/25 Φ β + β β + β + β β β β σ σ ÷ ÷ β β σ σ 1i 2i 3 4 5 6 1i 1 11 12 2i 2 12 22 Prob(Innovation)= ( FDI Imports logSales Employment + Productivity) ~ N , and four fixed (nonrandom) parameters. Part 23: Simulation Based Estimation Estimates of a Random Parameters Model---------------------------------------------------------------------- Probit Regression Start Values for IP Dependent variable IP Log likelihood function -4134.84707 Estimation based on N = 6350, K = 6 Information Criteria: Normalization=1/N Normalized Unnormalized AIC 1.30420 8281.69414--------+------------------------------------------------------------- Variable| Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X--------+------------------------------------------------------------- Constant| -2.34719*** .21381 -10.978 .0000 FDIUM| 3.39290*** .39359 8.620 .0000 .04581 IMUM| .90941*** .14333 6.345 .0000 .25275 LOGSALES| .24292*** .01937 12.538 .0000 10.5401 SP| 1.16687*** .14072 8.292 .0000 .07428 PROD| -4.71078*** .55278 -8.522 .0000 .08962--------+------------------------------------------------------------- ˜˜˜™ ™ 20/25 Part 23: Simulation Based Estimation RPM ˜˜˜™ ™ 21/25 Part 23: Simulation Based Estimation ˜˜˜™ ™ 22/25 Part 23: Simulation Based Estimation Parameter Heterogeneity ˜˜˜ ™ 23/25 Part 23: Simulation Based Estimation ˜˜˜ ˜™ 24/25 Part 23: Simulation Based Estimation Movie Model ˜˜˜ ˜ 25/25...
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Part 23 Simulation Based Estimation Quadrature vs...

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