Altissimo, Filippo; Mele, Antonio - In: Review of Economic Studies 76 (2009) 2, pp. 413-450
This paper introduces a new class of parameter estimators for dynamic models, called simulated non-parametric estimators (SNEs). The SNE minimizes appropriate distances between non-parametric conditional (or joint) densities estimated from sample data and non-parametric conditional (or joint)...
