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28 March 2024
 
  » arxiv » 1501.1265

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The ABC of Simulation Estimation with Auxiliary Statistics
Jean-Jacques Forneron ; Serena Ng ;
Date 6 Jan 2015
AbstractThis paper provides a synthesis of the simulation based minimum distance estimators used in economics with the method of ABC (Approximate Bayesian Computation) used in other disciplines. While the two strands of work are seemingly related, the relation between them is not well understood beyond the fact that they all replace the likelihood by auxiliary statistics that are informative about the data. We connect the two methods by using a reverse sampler to engineer the ABC posterior distribution from a sequence of simulated minimum distance estimates. Focusing on the exactly identified case, we find that Bayesian and frequentist estimators have different bias properties for an arbitrary choice of prior. The difference can be traced to whether we match the sample auxiliary statistics to each or to the average of the simulated ones. In principle, the likelihood-free Bayesian estimators can completely eliminate the order $frac{1}{T}$ bias with suitable choice of the prior. But under a specific relation between the structural parameters and auxiliary statistics, the frequentist simulated distance estimators are automatically second order unbiased. These differences are illustrated using an analytical example and a simulation study of the dynamic panel model.
Source arXiv, 1501.1265
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