Simulated Method of Moments

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!
DSGE_Hansen.mod (1.11 KB)

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



but what is this then:

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

found in: ā€¦ ation.html

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


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

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

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 :wink:.
SMM (9.43 KB)

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