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04/27/2023
Convexity Not Required: Estimation of Smooth Moment Condition Models
Generalized and Simulated Method of Moments are often used to estimate s...
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01/17/2023
Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models
A practical challenge for structural estimation is the requirement to ac...
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05/06/2022
Estimation and Inference by Stochastic Optimization
In non-linear estimations, it is common to assess sampling uncertainty b...
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02/20/2021
Estimation and Inference by Stochastic Optimization: Three Examples
This paper illustrates two algorithms designed in Forneron Ng (2020)...
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04/20/2020
Inference by Stochastic Optimization: A Free-Lunch Bootstrap
Assessing sampling uncertainty in extremum estimation can be challenging...
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11/20/2019
A Scrambled Method of Moments
Quasi-Monte Carlo (qMC) methods are a powerful alternative to classical ...
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07/30/2019
Detecting Identification Failure in Moment Condition Models
This paper develops an approach to detect identification failures in a l...
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02/04/2019