The Asymptotic Distribution of Estimators with Overlapping Simulation Draws
نویسندگان
چکیده
In this paper we study the asymptotic distribution of simulation estimators where the same set of simulation draws are used for all observations under general conditions that do not require the function used in the simulation to be smooth. We consider two cases: estimators that solve a system of simulated moments and estimators that maximize a simulated likelihood. Many simulation estimators used in empirical work involve both overlapping simulation draws and nondifferentiable moment functions. Developing sampling theorems under these two conditions provides an important compliment to the existing results in the literature on the asymptotics of simulation estimators.
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