Simulated Method of Moments

[Daniel Bendel]

I have seen that dynare allows for SMM.

I found the function [param,sigma] = simulated_moments_estimation(dataset,options,parallel) for Matlab.

But I do not know, what I have to do to run the SMM estimation?
What is the right code for the uploaded mod-file?

Thanks a lot!

[MichelJuillard]

There is no support for SMM in the distribution of Dynare. Maybe somebody wrote her own extension, but I'm not aware of public code.

Best

Michel

[Daniel Bendel]

but what is this then:

function [param,sigma] = simulated_moments_estimation(dataset,options,parallel)

found in:
http://www.dynare.org/dynare-matlab-m2h ... ation.html

[SébastienVillemot]

This function comes from an unfinished and undocumented piece of code, which is indeed intended to implement SMM in a future version of Dynare.

Best,

[Daniel Bendel]

Since Dynare cannot estimate with SMM, I wrote a code myself. If you like, I would send you the code.

[SébastienVillemot]

Sure, you can post it and we will see if we can incorporate it.

[Daniel Bendel]

The SMM estiamtion works for small modells well, but not for big DSGE modells. Do you kown why?
The uploaded code represents a smm estimation for a very simple model (Hansen). Hope it helps. And hope it is correct .