Simulation Based Inference In Econometrics

Author : Roberto Mariano
Publisher : Cambridge University Press
ISBN 13 : 9780521591126
Total Pages : 488 pages
Book Rating : 4.20/5 ( download)

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Download or read book Simulation-based Inference in Econometrics written by Roberto Mariano and published by Cambridge University Press. This book was released on 2000-07-20 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.55/5 ( download)

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Download or read book Simulation-based Inference in Econometrics written by Roberto S. Mariano and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Roberto Mariano
Publisher :
ISBN 13 :
Total Pages : 462 pages
Book Rating : 4.57/5 ( download)

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Download or read book Simulation based inference in econometric written by Roberto Mariano and published by . This book was released on 2000 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Christian Gouriéroux
Publisher : OUP Oxford
ISBN 13 : 019152509X
Total Pages : 190 pages
Book Rating : 4.94/5 ( download)

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Download or read book Simulation-based Econometric Methods written by Christian Gouriéroux and published by OUP Oxford. This book was released on 1997-01-09 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Pascale Valéry
Publisher :
ISBN 13 :
Total Pages : 410 pages
Book Rating : 4.49/5 ( download)

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Download or read book Simulation-based Inference and Nonlinear Canonical Analysis in Financial Econometrics written by Pascale Valéry and published by . This book was released on 2005 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Lennart F. Hoogerheide
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.78/5 ( download)

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Download or read book Simulation Based Bayesian Econometric Inference written by Lennart F. Hoogerheide and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Dufour, Jean-Marie
Publisher : Montréal : CIRANO
ISBN 13 : 9782893825106
Total Pages : 32 pages
Book Rating : 4.09/5 ( download)

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Download or read book Finite-sample Simulation-based Inference in VAR Models with Applications to Order Selection and Causality Testing written by Dufour, Jean-Marie and published by Montréal : CIRANO. This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.31/5 ( download)

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Download or read book Using Simulation-based Inference with Panel Data in Health Economics written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Jean-Marie Dufour
Publisher : Centre interuniversitaire de recherche en économie quantitative
ISBN 13 : 9782893825106
Total Pages : 0 pages
Book Rating : 4.09/5 ( download)

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Download or read book Finite-sample Simulation-based Inference in VAR Models with Applications to Order Selection and Causality Testing written by Jean-Marie Dufour and published by Centre interuniversitaire de recherche en économie quantitative. This book was released on 2005* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author :
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.68/5 ( download)

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Download or read book Simulation-based Econometric Methods written by and published by . This book was released on 1997 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: