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I'm reading a paper by Stephane Adjémian on DSGE modeling with a zero lower bound for the nominal interest rate, and he's using what he describes as the simulated method of moments / extended path. Has anyone worked with these techniques? What would you say is the next step toward gaining familiarity with them for someone who has a bit of a background in GMM estimation.

I know that the main paper is McFadden (1989), but does anyone know of a textbook treatment of this material? I'd like to avoid having to worry about probability theory if possible.

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Chapter 5: http://press.princeton.edu/titles/8434.html
Chapter 12: (Cameron&Trivedi textbook)
Chapter 15: (Greene's 7th edition)
This one discusses the general issues and is freely available: http://elsa.berkeley.edu/books/choice2.html
And I also recall that the handbook of econometrics chapter on simulation (40) is particularly readable.

Edited to remove extra links as only 2 are allowed.

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  • $\begingroup$ Thanks for the thorough reply. The Canova book would be really helpful if there were more thorough explanations and/or answers to the exercises somewhere but I've pretty much given up on it at this point. It's a shame because I really wanted to like it. Maybe I'll go back to it at some point. $\endgroup$ – jefflovejapan Jul 21 '11 at 3:52
  • $\begingroup$ @jefflovejapan, I had a chance to glance through Canova's book. I am not economist, so I cannot judge on economics content of the book. However mathematical content is awful, inconsistent notation, strange definitions of well known concepts, and plainly wrong mathematical statements. So I definitely do not recommend this book if you want to get acquainted with new methodology. $\endgroup$ – mpiktas Jul 21 '11 at 11:09
  • $\begingroup$ @mpiktas That's a relief - I thought it was just me. $\endgroup$ – jefflovejapan Jul 22 '11 at 11:20

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