SMM.jl: Simulated Method of Moments for Julia - Sciences Po Access content directly
Software Year : 2019

SMM.jl: Simulated Method of Moments for Julia

Florian Oswald
Julien Pascal
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  • PersonId : 1217083
Greg Martin
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Abstract

Notice: this package was previously called MomentOpt.jl. This package provides a Julia infrastructure for Simulated Method of Moments estimation, or other problems where we want to optimize a non-differentiable objective function. The setup is suitable for all kinds of likelihood-free estimators - in general, those require evaluating the objective at many regions. The user can supply their own algorithms for generating successive new parameter guesses. We provide a set of MCMC template algorithms. The code can be run in serial or on a cluster.

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