Higher-order properties of approximate estimators

D Kristensen, B Salanié - Journal of Econometrics, 2017 - Elsevier
Many modern estimation methods in econometrics approximate an objective function, for
instance, through simulation or discretization. These approximations typically affect both …

Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies

D Lee, K Song - Journal of Econometrics, 2015 - Elsevier
Many existing methods of simulated likelihood for discrete choice models require additive
errors that have normal or extreme value distributions. This paper focuses on a situation …