Simulation-based Econometric Methods

Simulation-based Econometric Methods
Author :
Publisher : OUP Oxford
Total Pages : 190
Release :
ISBN-10 : 9780191525094
ISBN-13 : 019152509X
Rating : 4/5 (94 Downloads)

Book Synopsis Simulation-based Econometric Methods by : Christian Gouriéroux

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.


Simulation-based Econometric Methods Related Books

Simulation-based Econometric Methods
Language: en
Pages: 190
Authors: Christian Gouriéroux
Categories: Business & Economics
Type: BOOK - Published: 1997-01-09 - Publisher: OUP Oxford

DOWNLOAD EBOOK

This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models u
Simulation-based Inference in Econometrics
Language: en
Pages: 488
Authors: Roberto Mariano
Categories: Business & Economics
Type: BOOK - Published: 2000-07-20 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes
Simulation-based Econometric Methods
Language: en
Pages: 184
Authors:
Categories:
Type: BOOK - Published: 1997 - Publisher:

DOWNLOAD EBOOK

Discrete Choice Methods with Simulation
Language: en
Pages: 399
Authors: Kenneth Train
Categories: Business & Economics
Type: BOOK - Published: 2009-07-06 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these sta
Introductory Econometrics
Language: en
Pages: 810
Authors: Humberto Barreto
Categories: Business & Economics
Type: BOOK - Published: 2006 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

This highly accessible and innovative text with supporting web site uses Excel (R) to teach the core concepts of econometrics without advanced mathematics. It e