Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis
利用大量辅助统计量进行模拟估计与长期动态分析
The existing asymptotic theory for estimators obtained by simulated minimum distance does not cover situations in which the number of components of the auxiliary statistics (or number of matched “moments”) is large — typically larger than the sample size. We establish the consistency of the simulated minimum distance estimator in this situation and derive its asymptotic distribution. Our estimator is easy to implement and allows us to exploit all the informational content of…