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portada Simulation-Based Econometric Methods
Type
Physical Book
Publisher
Author
Year
1997
Language
English
Pages
192
Format
Hardcover
ISBN
0198774753
ISBN13
9780198774754
Edition No.
1
Categories

Simulation-Based Econometric Methods

Christian GouriÉRoux; Alain Monfort (Author) · Oxford University Press · Hardcover

Simulation-Based Econometric Methods - Christian GouriÉRoux; Alain Monfort

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Synopsis "Simulation-Based Econometric Methods "

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.

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