Simulation and the Asymptotics of Optimization Estimators

By Ariel Pakes, D. Pollard. 1989

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Counterfactual Prediction with Deep Instrumental Variables Networks (2016, neutral): “…a number of applications in economics and elsewhere that approach such loss functions through direct minimization of a monte carlo approximation to the true objective function (e.g., simulated maximum likelihood (SML) and simulated method of moments (SMM) [McFadden, 1989, Pakes and Pollard, 1989]).”
Efficient Policy Learning (2017, background): “As argued in Pakes and Pollard (1989), the class Πn has a finite VC dimension if and only if there is a constant κn for which log (NH(ε, Πn)) ≤ κn log ( ε−1 ) for all 0 < ε < 1 2 .”
GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION (2003, background): “Hansen, Heaton and Yaron (1996) and Pakes and Pollard (1989) define the (GMM) CUE using the centered weighting matrix ( Pn i=1(gi(θ)−bg(θ))(gi(θ)−bg(θ)) 0 /n)−1.”
NONPARAMETRIC ESTIMATION OF A GENERALIZED ADDITIVE MODEL WITH AN UNKNOWN LINK FUNCTION (2001, background): “Define a Euclidean class of functions as in Pakes and Pollard (1989).”
Uniformly Semiparametric Efficient Estimation of Treatment Effects With a Continuous Treatment (2015, background): “Pakes and Pollard (1989) and Chen, Linton, and Van Keilegom (2003) had similar assumptions.”
Time-varying risk aversion and unexpected inflation ☆ (2003, unknown): “…we construct the simulated pricing kernel: #Mst;tþni ðYÞ ¼ d ni expfað#gtþni gt ð #gtþ1 þ?þ #gtþni ÞÞ ð #ptþ1 þ?þ #ptþni Þg: ð25Þ SLS estimation, based on the ideas of McFadden (1989) and Pakes and Pollard (1989), is by now standard in economics and finance (see Gourieroux and Monfort, 1996).”
Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “As pointed out by McFadden (1989) and Pakes and Pollard (1989), this is required to achieve stochastic equicontinuity.”
Explaining Adoption and Use of Payment Instruments by U.S. Consumers (2016, unknown): “We further adjust the standard errors upwards to account for simulation error, as in Pakes and Pollard (1989).”