The article outlines the method of simulated moments as a technique for estimating the parameters of dynamic, stochastic general equilibrium macroeconomic models. A detailed description is provided for implementation of the method, and its statistical properties are discussed. A brief comparison with other common estimation methods (calibration, generalized method of moments and maximum likelihood) is presented.
Autocorrelation consistent estimators Bayesian methods in macroeconometrics Calibration Dynamic, stochastic, general equilibrium (DSGE) models Ergodicity Euler equations Expected utility Generalized method of moments Heteroskedasticity Maximum likelihood estimation Method of simulated moments Simulation estimators in macroeconometrics
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