3 citations · 8 across the 8 of their papers we have counts for
10 papers · 1 filter
Fitting Dynamically Misspecified Models: An Optimal Transportation Approach
Jean-Jacques Forneron, Zhongjun Qu
This paper considers filtering, parameter estimation, and testing for potentially dynamically misspecified state-space models. When dynamics are misspecified, filtered values of st…
Occasionally Misspecified
Jean-Jacques Forneron
When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyn…
Convexity Not Required: Estimation of Smooth Moment Condition Models
Jean-Jacques Forneron, Liang Zhong
Generalized and Simulated Method of Moments are often used to estimate structural Economic models. Yet, it is commonly reported that optimization is challenging because the corresp…
Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models
Jean-Jacques Forneron
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper pro…
Estimation and Inference by Stochastic Optimization
Jean-Jacques Forneron
In non-linear estimations, it is common to assess sampling uncertainty by bootstrap inference. For complex models, this can be computationally intensive. This paper combines optimi…
Estimation and Inference by Stochastic Optimization: Three Examples
Jean-Jacques Forneron, Serena Ng
This paper illustrates two algorithms designed in Forneron & Ng (2020): the resampled Newton-Raphson (rNR) and resampled quasi-Newton (rqN) algorithms which speed-up estimation and…
Inference by Stochastic Optimization: A Free-Lunch Bootstrap
Jean-Jacques Forneron, Serena Ng
Assessing sampling uncertainty in extremum estimation can be challenging when the asymptotic variance is not analytically tractable. Bootstrap inference offers a feasible solution…
A Scrambled Method of Moments
Jean-Jacques Forneron
Quasi-Monte Carlo (qMC) methods are a powerful alternative to classical Monte-Carlo (MC) integration. Under certain conditions, they can approximate the desired integral at a faste…
Detecting Identification Failure in Moment Condition Models
Jean-Jacques Forneron
This paper develops an approach to detect identification failure in moment condition models. This is achieved by introducing a quasi-Jacobian matrix computed as the slope of a line…
A Sieve-SMM Estimator for Dynamic Models
Jean-Jacques Forneron
This paper proposes a Sieve Simulated Method of Moments (Sieve-SMM) estimator for the parameters and the distribution of the shocks in nonlinear dynamic models where the likelihood…