Social and Behavioral Sciences Commons^™

The Method Of Simulated Scores For The Estimation Of Ldv Models With An Application To External Debt Crisis, Vassilis A. Hajivassiliou, Daniel Mcfadden

Cowles Foundation Discussion Papers

The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that employ these simulators. We establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must use if biased simulators are used. The estimation method is applied to analyze a model in which the incidence and the extent of debt repayments problems of LDC’s are viewed as optimized …