TY  - JOUR
AU  - Ackerberg,Daniel A.
TI  - A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 273
PY  - 2001
Y2  - July 2001
UR  - http://www.nber.org/papers/t0273
L1  - http://www.nber.org/papers/t0273.pdf
N1  - Author contact info:
Daniel Ackerberg
Department of Economics
University of Michigan
Lorch Hall
Ann Arbor, MI 48109
E-Mail: ackerber@econ.ucla.edu
AB  - Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model and choose parameters that make moments of this simulated data as close as possible to moments of the true data. This paper uses importance sampling techniques to address a significant computational caveat regarding these MSM estimators - that often one's economic model is hard to solve. Examples include complicated equilibrium models and dynamic programming problems. We show that importance sampling can reduce he number of times a particular model needs to be solved in an estimation procedure, significantly decreasing computational burden.
ER  -