Simulation-Based Econometric Methods - Couverture rigide

Gouriéroux, Christian; Monfort, Alain

 
9780198774754: Simulation-Based Econometric Methods
Couverture rigide
ISBN 10 : 0198774753 ISBN 13 : 9780198774754
Editeur : Oxford University Press, 1997

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Revue de presse

A thorough study. (ASLIB Book Guide)

'...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 that are proposed in recent econometric literature, along with a critical discussion...' (Economic Notes 3)

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Oxford University Press
Date d'édition
1997
Langue
anglais
ISBN 10 
0198774753
ISBN 13 
9780198774754
Reliure
Relié
Nombre de pages
184
Coordonnées du fabricant
non disponible
Personne responsable
Ufficio Anagrafiche Messaggerie
ufficio.anagrafiche@meli.it

Via Verdi, 8
Assago Milano
20090
Italie