Simulation-based Inference in Econometrics: Methods and Applications - Softcover

Mariano, Roberto

Softcover

ISBN 10: 052108802X ISBN 13: 9780521088022

Publisher: Cambridge University Press, 2009

Synopsis

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.

About this title

Review

"This book would be a valuable reference for empirical researchers interested in applying simulation-based methods." JASA

Book Description

Simulation-based inference (SBI) is the fastest growing area of research in modern econometrics. This substantial international volume provides an overview of the applications and techniques at the cutting edge of the subject as well as providing a comprehensive survey of the existing literature.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2009
• Language: English
• ISBN 10: 052108802X
• ISBN 13: 9780521088022
• Binding: Paperback
• Number of pages: 476