Estimation by simulation of monotone dynamical systems

[摘要] This paper offers a general proof of consistency for the simulated moments estimator in a parameterized family of stochastic models with monotone dynamics. Models with this monotonicity property are frequently encountered in economic applications. The proof of consistency of the estimator draws upon a uniform law of large numbers over a continuum of invariant distributions indexed by the model's parameters. (C) 2003 Elsevier B.V. All rights reserved.

[发布日期] 2003-09-01

[效力级别]  Proceedings Paper

[关键词] the simulated moments estimator;invariant distributions;monotone policy functions;economic models