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Synopsis
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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From the Back Cover
Simulation-Based Econometric Methods introduces a new generation of econometric methods in the classical domain. 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, for instance, 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.
About the Author
Christian Gourieroux is at ENSAE and the University of Paris IX. Alain Monfort is at ENSAE and the Ecole Polytechnique, Paris.
"About this title" may belong to another edition of this title.
- PublisherOxford University Press
- Publication date1997
- ISBN 10 0198774753
- ISBN 13 9780198774754
- BindingHardcover
- LanguageEnglish
- Edition number1
- Number of pages184
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Simulation-Based Econometric Methods (OUP/CORE Lecture Series)
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ISBN 13: 9780198774754
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Simulation-Based Econometric Methods Core Lectures
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Simulation-Based Econometric Methods. Core Lectures.
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Condition: Gut. 174 Seiten; Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempel.). der Buchzustand ist ordentlich und dem Alter entsprechend gut. Sprache: Englisch. Sprache: Englisch Gewicht in Gramm: 450 23,0 x 15,6 x 1,8 cm, gebundene Ausgabe. Seller Inventory # 1419972
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Hardcover. Condition: new. Hardcover. 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 inthe 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 ofproblems 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 financialseries. This book presents an exciting new set of econometric methods. They have been developed as a result of the increase in power and affordability of computers which allow simulations to be run. The authors have played a large role in developing the techniques. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Seller Inventory # 9780198774754
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