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AI 根据所提供的论文材料归类:摘要直接研究复杂参数结构模型的模拟估计、识别及相对极大似然的效率。

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关注这篇论文的作者
Veronika Czellar
David T. Frazier
Eric Renault

复杂结构模型的近似极大似然估计

研究问题
当复杂参数结构模型的似然难以计算时,如何保留间接推断的简约性,同时获得接近极大似然的统计效率?
方法与思路
作者提出基于受约束结构模型近似的模拟估计方法,利用该近似实现识别,并通过多个例子考察接近极大似然的效率。
材料陈述的贡献
摘要称新方法可保持间接推断的简约性,在一些情形下接近极大似然效率,并能用于极大似然不可行的模型。
阅读关注点
应核对约束近似如何保证识别、近似与模拟误差如何影响效率,以及接近极大似然的条件和模型误设下的表现。
阅读边界
所给版本为 arXiv 预印本,不能据此确认同行评审或期刊接收;摘要未列具体约束、效率界或误设稳健性保证。

原文摘要

Indirect Inference (I-I) is a popular technique for estimating complex parametric models whose likelihood function is intractable, however, the statistical efficiency of I-I estimation is questionable. While the efficient method of moments, Gallant and Tauchen (1996), promises efficiency, the price to pay for this efficiency is a loss of parsimony and thereby a potential lack of robustness to model misspecification. This stands in contrast to simpler I-I estimation strategies, which are known to display less sensitivity to model misspecification precisely due to their focus on specific elements of the underlying structural model. In this research, we propose a new simulation-based approach that maintains the parsimony of I-I estimation, which is often critical in empirical applications, but can also deliver estimators that are nearly as efficient as maximum likelihood. This new approach is based on using a constrained approximation to the structural model, which ensures identification and can deliver estimators that are nearly efficient. We demonstrate this approach through several examples, and show that this approach can deliver estimators that are nearly as efficient as maximum likelihood, when feasible, but can be employed in many situations where maximum likelihood is infeasible.

笔记与分组