Estimating finite-horizon life-cycle models: A quasi-Bayesian approach

• Main Author: LIU, Xiaobin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Finite-horizon life-cycle model; Structural estimation; Quasi-Bayesian estimator; Method of simulated moment; Numerical solution; GPU computation; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2307; https://ink.library.smu.edu.sg/context/soe_research/article/3306/viewcontent/20171129.pdf
• Institution: Singapore Management University

This paper proposes a quasi-Bayesian approach for structural parameters in finite-horizon life-cycle models. This approach circumvents the numerical evaluation of the gradient of the objective function and alleviates the local optimum problem. The asymptotic normality of the estimators with and with...