Simulation Based Inference In Econometrics
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Author | : Roberto Mariano |
Publisher | : Cambridge University Press |
Total Pages | : 488 |
Release | : 2000-07-20 |
Genre | : Business & Economics |
ISBN | : 9780521591126 |
Download Simulation-based Inference in Econometrics Book in PDF, Epub and Kindle
This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.
Author | : Roberto S. Mariano |
Publisher | : |
Total Pages | : 0 |
Release | : 2000 |
Genre | : Econometric models |
ISBN | : |
Download Simulation-based Inference in Econometrics Book in PDF, Epub and Kindle
Author | : Christian Gouriéroux |
Publisher | : OUP Oxford |
Total Pages | : 190 |
Release | : 1997-01-09 |
Genre | : Business & Economics |
ISBN | : 019152509X |
Download Simulation-based Econometric Methods Book in PDF, Epub and Kindle
This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author | : Roberto Mariano |
Publisher | : |
Total Pages | : 462 |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Simulation based inference in econometric Book in PDF, Epub and Kindle
Author | : Pascale Valéry |
Publisher | : |
Total Pages | : 410 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Simulation-based Inference and Nonlinear Canonical Analysis in Financial Econometrics Book in PDF, Epub and Kindle
Author | : Lennart F. Hoogerheide |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Simulation Based Bayesian Econometric Inference Book in PDF, Epub and Kindle
Author | : Dufour, Jean-Marie |
Publisher | : Montréal : CIRANO |
Total Pages | : 32 |
Release | : 2005 |
Genre | : Autoregression (Statistics) |
ISBN | : 9782893825106 |
Download Finite-sample Simulation-based Inference in VAR Models with Applications to Order Selection and Causality Testing Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Using Simulation-based Inference with Panel Data in Health Economics Book in PDF, Epub and Kindle
Author | : Jean-Marie Dufour |
Publisher | : Centre interuniversitaire de recherche en économie quantitative |
Total Pages | : 0 |
Release | : 2005* |
Genre | : Autoregression (Statistics) |
ISBN | : 9782893825106 |
Download Finite-sample Simulation-based Inference in VAR Models with Applications to Order Selection and Causality Testing Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 184 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download Simulation-based Econometric Methods Book in PDF, Epub and Kindle