Kormilitsina, Anna; Nekipelov, Denis - In: DSGE models in macroeconomics : estimation, evaluation, …, (pp. 291-318). 2012
The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the estimator has desirable asymptotic properties, in small samples the point estimate provided by LTE may not...