Review Simulation-based Econometric Methods

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Simulation-based Econometric Methods High quality books

Simulation-based Econometric Methods
By:Christian Gouriéroux,Alain Monfort
Published on 1997-01-09 by OUP Oxford

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.

This Book was ranked at 24 by Google Books for keyword Credit channel.

Book ID of Simulation-based Econometric Methods's Books is k5jF-7VRMnEC, Book which was written byChristian Gouriéroux,Alain Monforthave ETAG "rRWjPOO1jvQ"

Book which was published by OUP Oxford since 1997-01-09 have ISBNs, ISBN 13 Code is 9780191525094 and ISBN 10 Code is 019152509X

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Book which have "184 Pages" is Printed at BOOK under CategoryBusiness and Economics

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