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The method of simulated scores for the estimation of LDV models

Hajivassiliou, Vassilis and McFadden, Daniel (1998) The method of simulated scores for the estimation of LDV models. Econometrica, 66 (4). pp. 863-896. ISSN 1468-0262

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The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) 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. The first continuous method relies on a recursive conditioning of the multivariate normal density through a Cholesky triangularization of its variance-covariance matrix. The second method combines results about the conditionals of the multivariate normal distribution with Gibbs resampling techniques. We establish consistency and asymptotic normality of the MSS estimators and derive suitable rates at which the number of simulations must rise if biased simulators are used.

Item Type: Article
Official URL:
Additional Information: © 1998 The Econometric Society
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 27 Mar 2008 16:40
Last Modified: 27 Jun 2012 10:34

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