Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1989, Volume 57, Issue 5

Simulation and the Asymptotics of Optimization Estimators

https://www.jstor.org/stable/1913622
p. 1027-1057

Ariel Pakes, David Pollard

A general central limit theorem is proved for estimators defined by minimization of the length of a vector-valued, random criterion function. No smoothness assumptions are imposed on the criterion function, in order that the results might apply to a broad class of simulation estimators. Complete analyses of two simulation estimators, one introduced by Pakes and the other by McFadden, illustrate the application of the general theorems.


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