Simulation-based Econometric Methods (OUP/CORE Lecture Series)
Language: English
Published by OUP Oxford, 1997
- Hardcover
- New
Seller: Kennys Bookstore, Olney, MD, U.S.A.Kennys Bookstore
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Condition: New
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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. Num Pages: 184 pages, line figures, tables. BIC Classification: KCH; PBW. Category: (P) Professional & Vocational. Dimension: 236 x 160 x 19. Weight in Grams: 434. . 1997. Illustrated. hardcover. . . . . Books ship from the US and Ireland.
Seller Inventory # V9780198774754
- Title
- Simulation-based Econometric Methods (OUP/CORE Lecture Series)
- Author
- Gouriéroux, Christian
- Publisher
- OUP Oxford
- Publication year
- 1997
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0198774753
- ISBN 13
- 9780198774754
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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Kennys Bookstore
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