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.
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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)
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gebundene Ausgabe. Condizione: Gut. 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. Codice articolo 1454597
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Hardcover. Condizione: new. Hardcover. 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 inthe 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 ofproblems 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 financialseries. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Codice articolo 9780198774754
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