Book

Simulation-based Econometric Methods

Christian Gouriéroux and Alain Monfort

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: https://dx.doi.org/10.1093/0198774753.001.0001

Series: OUP/CORE Lecture Series

Simulation-based Econometric Methods

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

This book deals with a new generation of econometric methods leading to criterion functions without simple analytical expression. The difficulty often comes from the presence of integrals of large dimension in the probability density function or in the moments, and the idea is to circumvent this numerical difficulty by an approach based on simulation. The main methods considered are the methods of Simulated Moments, Simulated Maximum Likelihood, Simulated Pseudo‐Maximum Likelihood, Simulated Non‐Linear Least Squares, and Indirect Inference. These methods are applied to Limited Dependent Variables Models, to Financial Series, and to Switching Regime Models.

Keywords: Pseudo‐Maximum Likelihood; Simulated Indirect Inference; Simulated Non‐Linear Least Square

Book.  184 pages.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »


Table of Contents

Introduction and Motivations in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

The Method of Simulated Moments (MSM) in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Indirect Inference in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Applications to Limited Dependent Variable Models in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Applications to Financial Series in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Applications to Switching Regime Models in Simulation-based Econometric Methods

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.