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Estimation of nonlinear errors-in-variables models: a simulated minimum distance estimator

โœ Scribed by Tong Li

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
75 KB
Volume
47
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

Hsiao (1989, J. Econometrics 41, 159-185)

proposes a minimum distance estimator in estimating the structural nonlinear errors-in-varaibles models. We propose a simulated minimum distance estimator that is consistent and resolves the computational di culty involved in the minimum distance estimator.

๐Ÿ“œ SIMILAR VOLUMES

Estimation of quantized linear errors-in
Estimation of quantized linear errors-in-variables models
โœ Vikram Krishnamurthy ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 627 KB

We present an estimation algorithm for dynamic shock-error models (DSEM) given l-bit quantized noisy measurements of the input and output. The algorithm is called the binary series estimation algorithm (BSEA). BSEA is computationally inexpensive, since it involves counting the number of occurrences