Simulation-Based Econometric Methods Core Lectures

Gourieroux, Christian 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.). Schnitt und Einband sind etwas staubschmutzig; Einbandkanten sind leicht bestossen; der Buchzustand ist ansonsten ordentlich und dem Alter entsprechend gut. Sprache: Englisch Gewicht in Gramm: 400.

Seller Inventory # 1454597

Bibliographic Details

• Title: Simulation-Based Econometric Methods Core Lectures
• Publisher: Oxford University Press
• Publication Date: 1996
• Language: English
• ISBN 10: 0198774753
• ISBN 13: 9780198774754
• Binding: gebundene Ausgabe
• Condition: Gut
• Seller catalogs:
  • 604 Wirtschaft

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.

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.