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Efficiency comparisons by Monte Carlo simulation
Overview In this post, I show how to use Monte Carlo simulations to compare the efficiency of different estimators. I also illustrate what we mean by efficiency when discussing statistical estimators....
View ArticleEstimating parameters by maximum likelihood and method of moments using mlexp...
\(\newcommand{\epsilonb}{\boldsymbol{\epsilon}} \newcommand{\ebi}{\boldsymbol{\epsilon}_i} \newcommand{\Sigmab}{\boldsymbol{\Sigma}} \newcommand{\Omegab}{\boldsymbol{\Omega}}...
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Understanding the generalized method of moments (GMM): A simple example
\(\newcommand{\Eb}{{\bf E}}\)This post was written jointly with Enrique Pinzon, Senior Econometrician, StataCorp. The generalized method of moments (GMM) is a method for constructing estimators,...
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