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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Monte Carlo Evidences on Finite Sample Performances of the Simulated Integrated Conditional Moment Estimator for the Binary Choice Model

Vol.30, No.3, September , 88–99



  •   (Ewha Womans University)

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Abstract  

In this paper, I propose a simulated integrated conditional moment (SICM) estimator for the binary choice model. The asymptotic property of the proposed SICM estimator is explored via Monte Carlo experiment since its asymptotic theory has not been fully developed. In particular, the SICM estimator is compared with method of simulated moment (MSM) and ML estimators by adopting a simple parametric distributional setup in the experiment. The experiment results show that the proposed SICM estimator is valid in the sense that it is consistent and its Monte Carlo variance decreases by 1=n times as the sample size increases. In particular, it is found that the variance of the SICM estimator is approximately twice that of the MSM estimator with one simulator.


Keywords
   simulated integrated conditional moment, method of simulated moment, binary choice model

JEL classification codes
   C15, C18, C25
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