Simulation-based Econometric Methods: Simulation Based Econometric M by Christian Gourieroux

Simulation-based Econometric Methods: Simulation Based Econometric M

byChristian Gourieroux, Alain Monfort

Hardcover | October 1, 1996

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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 econometricmodels 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 tocalibration 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 variablemodels and to financial series.

About The Author

Christian Gourieroux is at ENSAE and the University of Paris IX. Alain Monfort is at ENSAE and the Ecole Polytechnique, Paris.
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Details & Specs

Title:Simulation-based Econometric Methods: Simulation Based Econometric MFormat:HardcoverDimensions:184 pages, 9.21 × 6.14 × 0.71 inPublished:October 1, 1996Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:0198774753

ISBN - 13:9780198774754

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Table of Contents

1. Introduction and Motivations2. The Method of Simulated Moments3. Simulated Maximum Likelihood, Pseudo-maximum Likelihood, and Nonliner Least Squares Methods4. Indirect Inference5. Applications of Limited Dependent Variable Models6. Applications to Financial Series7. Applications to Switching Regime Models

Editorial Reviews

`'...The remaining chapters are devoted to applications.These are very useful since they give a precise idea of what has to be done in order to implement, from a practical point of view, the theoretical methods discussed...This book provides a very good review of the available methods thatare proposed in recent econometric literature, along with a critical discussion...''Economic Notes 3