A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

By Daniel McFadden. 1989

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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]).”
Panel Data Discrete Choice Models of Consumer Demand (2013, methodology): “Such ad hoc smoothing will induce bias in the simulator, as noted by McFadden (1989).”
Bayesian forecasting in economics and finance: A modern review (2022, background): “The multinomial logit model imposes the independence of irrelevant alternatives (IIA) property (McFadden, 1989), which means that it cannot capture general substitution patterns among choice alternatives.”
Spatial competition in retail markets: movie theaters (2006, background): “In fact, I follow Pakes and Pollard (1989) and McFadden (1989), who suggest using simulation estimators to approximate complex integrals.”
The Price Consideration Model of Brand Choice (2009, methodology): “Instead, we use simulated maximum likelihood, in which Monte Carlo methods are used to simulate the integrals (see, e.g., McFadden, 1989; Pakes, 1986; Keane, 1993, 1994).”
Multi-category competition and market power: a model of supermarket pricing (2017, methodology): “E[Rin∗ itkk′ −R itkk′(θ)] = 0, for k < k′ (35) E[Rcr∗ itkk′ −R itkk′(θ)] = 0, for k < k′, (36)”
Approximate Gaussian Integration using Expectation Propagation (2011, methodology): “), but such decompositions have very high computational complexity (Huguenin et al., 2009). In statistics, sampling based methods have found application in specic use cases (Lerman and Manski, 1981; McFadden, 1989; Pakes and Pollard, 1989), but the most ecient general, known method is numerical inte”
THE TRANSMISSION OF MONETARY POLICY IN A MULTISECTOR ECONOMY (2009, unknown): “[11]”