Chapter

Introduction and Motivations

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0001

Series: OUP/CORE Lecture Series

 Introduction and Motivations

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Reviews the standard parametric or semi‐parametric methods (Maximum Likelihood, Pseudo‐Maximum Likelihood, GMM). Then, considers models in which the likelihood function or the conditional moments do not admit a tractable form. Finally, describes a general non‐linear framework in which path simulations or conditional simulations will be useful.

Keywords: conditional simulations; Generalized Method of Moments; Maximum Likelihood; path simulations; Pseudo‐Maximum Likelihood

Chapter.  9015 words. 

Subjects: Econometrics and Mathematical Economics

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