Maximum simulated likelihood: don't stop believin'?

Unobserved heterogeneity may complicate model estimation in econometrics. To integrate out the effect of unobserved heterogeneity via maximum simulated likelihood (MSL) estimation, assumptions regarding the underlying distribution need to be made. Researchers seldomly discuss these assumptions. This raises the question, to what extent estimation results in the MSL-context are robust to potential distributional mismatch. This work-in-progress derives the research question from the literature. A simulation study is conducted that underpins the relevance of this matter, where results imply that mismatch may introduce significant bias. Intended future work to properly address and answer this question is defined and discussed.

---

1. Track 3: Advances in Information Systems and Technology

---

2. Session: 3rd Special Session on Data Science in Health, Ecology and Commerce

---

3. Position papers