Estimation with estimagic

Estimagic hast functions to estimate the parameters of maximum likelihood or simulation models. You provide a likelihood or moment simulation function. Estimagic produces parameter estimates and standard errors in a format that can be easily used to create publication quality latex or html tables.

• Likelihood estimation
  • Model:
  • 1. Create a data generating process
  • 2. Define the loglike function
  • 3. Estimate the model
  • 4. What’s in the results?
• Method of Simulated Moments (MSM)
  • Steps of MSM estimation
  • Example: Estimate the parameters of a regression model
    • Model:
  • 1. Simulate data
  • 2. Calculate Moments
  • 3. Calculate the covariance matrix of empirical moments
  • 4. Define a function to calculate simulated moments
  • 5. Estimate the model parameters
  • What’s in the result?
  • How to visualize sensitivity measures?