Simulation-Based Econometric Methods Core Lectures

Gourieroux, Christian and Alain Monfort:

ISBN 10: 0198774753 / ISBN 13: 9780198774754

Editore: Oxford University Press, 1996

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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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Titolo: Simulation-Based Econometric Methods Core ...

Casa editrice: Oxford University Press

Data di pubblicazione: 1996

Legatura: gebundene Ausgabe

Condizione: Gut

Descrizione articolo

Riassunto:

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.

Recensione:

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)