An MCMC Approach to Classical Estimation

Abstract

This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general (non-likelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods. The approach generates an alternative to classical extremum estimation and also falls outside the parametric Bayesian approach. For example, it offers a new attractive estimation method for such important semi-parametric problems as censored and instrumental quantile, nonlinear GMM and value-at-risk models. The LTE's are computed using Markov Chain Monte Carlo methods, which help circumvent the computational curse of dimensionality. A large sample theory is obtained for regular cases.

This is an archival version of the article "An MCMC approach to classical estimation", Journal of econometrics 115 (2), August 2003, pages 293-346. This version does not reflect the corrections made to the article during the publication process; it contains additional two remarks added, as indicated in the text. 62 pages, 7 figures

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