Chapter

Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0003

Series: OUP/CORE Lecture Series

 Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods

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The simulated analogues to Maximum Likelihood, Pseudo‐Maximum Likelihood, and Non‐Linear Least Squares Methods are presented. Their asymptotic properties and bias corrections are given under various assumptions. Several kinds of simulators are explored and, among them, simulations based on conditioning, on EM algorithm, or on importance sampling. The Metropolis Hastings algorithm is also considered.

Keywords: conditioning; EM algorithm; importance sampling; least squares; likelihood; pseudo‐likelihood

Chapter.  9543 words. 

Subjects: Econometrics and Mathematical Economics

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