Simulation-Based Econometric Methods. Core Lectures.

Gourieroux, Monfort, Christian Gourieroux and Alain Monfort:

ISBN 10: 0198774753 / ISBN 13: 9780198774754

Published by Oxford University Press;, 1996

About this Item

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

Bibliographic Details

Title: Simulation-Based Econometric Methods. Core ...

Publisher: Oxford University Press;

Publication Date: 1996

Binding: Hardcover

Condition: Gut

About this title

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.

About the Author:

Christian Gouriéroux is at ENSAE and the University of Paris IX. Alain Monfort is at ENSAE and the École Polytechnique, Paris.